scientific article; zbMATH DE number 7365010

MaRDI QIDQ4997791zbMATH OpenFDO

Authors Mikhail M. Dyshaev

Publication date 30 June 2021

Full work available at URL http://mathnet.ru/eng/chfmj26

zbMATH Keywords

group analysisinvariant solutioninvariant submodelnonlinear Black-Scholes equationnonlinear partial differential equationSchönbucher-Wilmott equationSircar-Papanicolaou equation

Mathematics Subject Classification ID

Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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• scientific article; zbMATH DE number 5802172
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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
• Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
• The Feedback Effect of Hedging in Illiquid Markets
• The pricing of options and corporate liabilities

Cited in

(20)

• Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
• Group classification for a class of non-linear models of the RAPM type
• Group classification of a generalized Black-Scholes-Merton equation
• Group classification of a class of equations arising in financial mathematics
• Group formalism of Lie transformations, conservation laws, exact and numerical solutions of non-linear time-fractional Black-Scholes equation
• Group classification of a generalization of the Heath equation
• Expanded Lie group transformations and similarity reductions for the celebrity Black-Scholes equation in finance
• Group properties of the Black Scholes equation and its solutions
• Group classification for a general nonlinear model of option pricing
• Invariant solutions for nonlinear models of illiquid markets
• Symmetry analysis and exact solutions for a nonlinear model of the financial markets theory
• On some option pricing models on illiquid markets
• Simulation of feedback effects for futures-style options pricing on Moscow exchange
• Lie group theoretic approach of one-dimensional Black-Scholes equation
• Group analysis of the Guéant and Pu model of option pricing and hedging
• Controllabilty and stability analysis on a group associated with Black-Scholes equation
• Schrödinger group and quantum finance
• Algebraic properties of evolution partial differential equations modelling prices of commodities
• Equivalence and new exact solutions to the Black Scholes and diffusion equations
• Invariant solutions of the Black-Scholes equation

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