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This article is cited in 5 scientific papers (total in 5 papers)
Group classification for a general nonlinear model of option pricing
Vladimir E. Fedorova, Mikhail M. Dyshaevb a Laboratory of Quantum Topology, Mathematical Analysis Department, Chelyabinsk State University, Chelybinsk, Russia
b Mathematical Analysis Department, Chelyabinsk State University, Chekybinsk, Russia
Abstract:
We consider a family of equations with two free functional parameters containing the classical Black-Scholes model, Schonbucher-Wilmott model, Sircar-Papanicolaou equation for option pricing as partial cases. A five-dimensional group of equivalence transformations is calculated for that family. That group is applied to a search for specifications' parameters specifications corresponding to additional symmetries of the equation. Seven pairs of specifications are found.
Keywords:
Nonlinear partial differential equation, Group analysis, Group of equivalency transformations, Group classiffcation, Nonlinear Black-Scholes equation, Pricing options, Dynamic hedging, Feedback effects of hedging.
Citation:
Vladimir E. Fedorov, Mikhail M. Dyshaev, “Group classification for a general nonlinear model of option pricing”, Ural Math. J., 2:2 (2016), 37–44
Linking options:
https://www.mathnet.ru/eng/umj19 https://www.mathnet.ru/eng/umj/v2/i2/p37
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Abstract page: | 3479 | Full-text PDF : | 108 | References: | 35 |
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