Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions

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

zbMATH Keywords

option pricing; Lie group analysis; complete set of reductions; invariant reductions; marginal utility function

Mathematics Subject Classification ID

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

GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING, Unnamed Item, Unnamed Item, Group Analysis of the Guéant and Pu Model of Option Pricing and Hedging, Symmetries and exact solutions of a nonlinear pricing options equation, Optimal system, symmetry reductions and new closed form solutions for the geometric average Asian options, Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition, Group classification for a class of non-linear models of the RAPM type, Solving a partial differential equation associated with the pricing of power options with time‐dependent parameters

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