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This article is cited in 3 scientific papers (total in 3 papers)
Mathematics
Invariant solutions of the Guéant — Pu model of options pricing and hedging
Kh. V. Yadrikhinskiya, V. E. Fedorovb a North-Eastern Federal University named after M.K. Ammosov, Yakutsk, Russia
b Chelyabinsk State University, Chelyabinsk, Russia
Abstract:
A model of the options pricing and hedging methodology,
taking into account the execution costs and market influence, related to nonlinear
Black — Scholes equations, is considered. Invariant solutions are found for two-dimensional subalgebras of the five-dimensional Lie algebra of
the equation under study.
Keywords:
options pricing, hedging, Black — Scholes type equation, Guéant — Pu model, Lie algebra, invariant solution.
Received: 15.02.2021 Revised: 01.03.2021
Citation:
Kh. V. Yadrikhinskiy, V. E. Fedorov, “Invariant solutions of the Guéant — Pu model of options pricing and hedging”, Chelyab. Fiz.-Mat. Zh., 6:1 (2021), 42–51
Linking options:
https://www.mathnet.ru/eng/chfmj224 https://www.mathnet.ru/eng/chfmj/v6/i1/p42
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Abstract page: | 114 | Full-text PDF : | 31 | References: | 12 |
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