GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING

GROUP CLASSIFICATION FOR A GENERAL NONLINEAR MODEL OF OPTIONS PRICING

We consider a family of equations with two free functional parameters containing the classical Black–Scholes model, Schönbucher–Wilmott model, Sircar–Papanicolaou equation for option pricing as partial cases. A five-dimensional group of equivalence transformations is calculated for that family. That...

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Bibliographic Details
Main Authors: Vladimir E. Fedorov, Mikhail M. Dyshaev
Format: Article
Language:English
Published: Krasovskii Institute of Mathematics and Mechanics of the Ural Branch of the Russian Academy of Sciences and Ural Federal University named after the first President of Russia B.N.Yeltsin. 2016-11-01
Series:Ural Mathematical Journal
Subjects:
Nonlinear partial differential equation, Group analysis, Group of equivalency transformations, Group classification, Nonlinear Black–Scholes equation, Option pricing, Dynamic hedging, Feedback effects of hedging
Online Access:https://umjuran.ru/index.php/umj/article/view/47

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https://umjuran.ru/index.php/umj/article/view/47

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