The fair price evaluation problem in illiquid markets : a Lie group analysis of a nonlinear model
We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Sc...
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| Format: | Others |
| Language: | English |
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Högskolan i Halmstad
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1633 |