On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
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Publication:3528727
DOI10.1007/978-3-540-69532-5_5zbMath1149.91313OpenAlexW35542985MaRDI QIDQ3528727
Publication date: 17 October 2008
Published in: Mathematical Control Theory and Finance (Search for Journal in Brave)
Full work available at URL: http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-5856
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Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging ⋮ GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A Fréchet derivative‐based novel approach to option pricing models in illiquid markets ⋮ Symmetries and exact solutions of a nonlinear pricing options equation ⋮ Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type ⋮ Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions ⋮ Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions ⋮ Study of the risk-adjusted pricing methodology model with methods of geometrical analysis ⋮ A nonlinear option pricing model through the Adomian decomposition method
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