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Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...
Optimal systems of subalgebras for a nonlinear Black-Scholes equation
Black - Scholes model nonlinearity optimal system
2010/10/29
The main object of our study is a four dimensional Lie algebra which describes the symmetry properties of a nonlinear Black-Scholes model. This model implements a feedback effect which is typical for ...