Recursion operators for the Guéant-Pu model

DOI10.1134/S1995080223030344MaRDI QIDQ6114642zbMATH OpenFDO

Authors

Publication date 12 July 2023

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S1995080223030344

zbMATH Keywords

generalized symmetrygroup analysisGuéant-Pu modeloption pricingrecursion operatorsymmetry analysis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3944162 (Why is no real title available?)
• Option pricing and hedging with execution costs and market impact
• The financial mathematics of market liquidity. From optimal execution to market making

Cited in

(4)

• Group analysis of the Guéant and Pu model of option pricing and hedging
• Symmetries of fractional Guéant-Pu model with Gerasimov-Caputo time-derivative
• Linearly autonomous symmetries of a fractional Guéant-Pu model
• Group analysis of equations with the Gerasimov-Caputo derivative using the example of the Guéant-Pu equation

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