Group classification for a general nonlinear model of option pricing

DOI10.15826/UMJ.2016.2.004MaRDI QIDQ4581430zbMATH OpenOpenAlexFDO

Authors Mikhail M. Dyshaev, Vladimir E. Fedorov

Publication date 17 August 2018

Published in Ural mathematical journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://mathnet.ru/eng/umj19

zbMATH Keywords

dynamic hedgingfeedback effects of hedginggroup analysisgroup classiffcationgroup of equivalency transformationsnonlinear Black-Scholes equationnonlinear partial differential equationpricing options

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• scientific article; zbMATH DE number 3762913 (Why is no real title available?)
• Lie symmetry analysis of differential equations in finance
• Market volatility and feedback effects from dynamic hedging
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• Perfect option hedging for a large trader
• The Feedback Effect of Hedging in Illiquid Markets
• The pricing of options and corporate liabilities

Cited in

(15)

• Group classification of a general bond-option pricing equation of mathematical finance
• Group classification for a class of non-linear models of the RAPM type
• Group classification of a generalized Black-Scholes-Merton equation
• New candidates for arbitrage-free stock price models via generalized conditional symmetry method
• Generalized uncorrelated SABR models with a high degree of symmetry
• Symmetry analysis and exact solutions for a nonlinear model of the financial markets theory
• scientific article; zbMATH DE number 7365010 (Why is no real title available?)
• On some option pricing models on illiquid markets
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• Group analysis of the Guéant and Pu model of option pricing and hedging
• Symmetries and exact solutions of a nonlinear pricing options equation
• GROUP CLASSIFICATION OF ONE CLASS (2+1)-DIMENSIONAL LINEAR EQUATIONS OF ASIAN OPTIONS PRICING
• Recursion operators for the Guéant-Pu model
• Linearly autonomous symmetries of a fractional Guéant-Pu model
• On linear-autonomous symmetries of Guéant-Pu fractional model

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