Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions

Details Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions

2007-08-11

arxiv.org/abs/0708.1568v1

book: "Nonlinear Models in Mathematical Finance. New Research Trends in Option Pricing.", 2009, pp103-130; ISBN 978-1-60456-93

Economy

Quantitative Finance

Pricing of Securities

26 pages, 7 figures, 25 references

Scientific paper

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.

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