Invariant solutions for nonlinear models of illiquid markets

DOI10.1002/MMA.4772MaRDI QIDQ4614489zbMATH OpenOpenAlexFDO

Authors Mikhail M. Dyshaev, Vladimir E. Fedorov

Publication date 31 January 2019

Published in Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mma.4772

zbMATH Keywords

feedback effects of hedginggroup classificationLie group and algebra methodsnonlinear Black-Scholes equationsnonlinear parabolic equationsoption pricingsymmetry analysis

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cited in

(13)

• Group classification for a class of non-linear models of the RAPM type
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• Lie group analysis of nonlinear Black-Scholes models
• Symmetry analysis and exact solutions for a nonlinear model of the financial markets theory
• 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
• Closed-form solutions via the invariant approach for one-factor commodity models
• Invariant solutions of the Guéant-Pu model of options pricing and hedging
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• Invariant solutions and linearized invariant submodels of some option pricing equations
• Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
• An investigation on nonlinear option pricing behaviours through a new Fréchet derivative-based quadrature approach

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