Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions
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Publication:6206474
arXiv0708.1568MaRDI QIDQ6206474FDOQ6206474
Authors: Ljudmila A. Bordag, Rüdiger Frey 
Publication date: 11 August 2007
Abstract: Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are discussed. Explicit solutions for one of the models are obtained and studied.
Lie algebras of Lie groups (22E60) Explicit solutions, first integrals of ordinary differential equations (34A05) Nonlinear parabolic equations (35K55)
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