Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
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Publication:539091
DOI10.1007/s11005-011-0463-3zbMath1223.35025arXiv1008.2663MaRDI QIDQ539091
Anna Mikaelyan, Ljudmila A. Bordag
Publication date: 27 May 2011
Published in: Letters in Mathematical Physics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.2663
option pricing; Lie group analysis; complete set of reductions; invariant reductions; marginal utility function
35K55: Nonlinear parabolic equations
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
34A05: Explicit solutions, first integrals of ordinary differential equations
22E60: Lie algebras of Lie groups
35B06: Symmetries, invariants, etc. in context of PDEs
Related Items
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