Families of explicit solutions are found to a nonlinear Black-Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving a nonlinear Black-Scholes equation. © World Scientific Publishing Company.
Funding: The work of the second author was kindly supported by the HWP-project, grant number 02014 of the Brandenburg, MWFK and by the grant of Halmstad University, Sweden.