Economy – Quantitative Finance – Pricing of Securities
Scientific paper
2010-02-03
Lobachevskii Journal of Mathematics , 2010,vol. 31,no 2, pp.90-99; ISSN 1995-0802
Economy
Quantitative Finance
Pricing of Securities
14 pages
Scientific paper
10.1134/S1995080210020022
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 the case of a nonlinear demand function involved in the model. Using a Lie group analysis we investigate the symmetry properties of these nonlinear diffusion equations. We provide the optimal systems of subalgebras and the complete set of non-equivalent reductions of studied PDEs to ODEs. In most cases we obtain families of exact solutions or derive particular solutions to the equations.
No associations
LandOfFree
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-154240