hh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The fair price evaluation problem in illiquid markets: a Lie group analysis of a nonlinear model
Halmstad University.
(English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

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-Scholes equation for illiquid markets. We use the Lie group analysis to determine the symmetry group of this equations. We present the Lie algebra of the Lie point transformations, the complete symmetry group and invariants. For different subgroups of the main symmetry group we describe the corresponding invariants. We use these invariants to reduce the PDE under investigation to ordinary differential equations (ODE). Solutions of these ODE's are subgroup-invariant solutions of the non-linear Black-Scholes equation. For some classes of those ODE's we find exact solutions and studied their properties.

% reduce non-linear PDE to ODE's. To some ODE's we find exact solutions.

%In this work we are studying one model for pricing derivatives in illiquid market. We discuss it structure and properties. Make a symmetry reduction for the PDE corresponding our model.

Keywords [en]
illiquid markets, Lie group analysis
Identifiers
URN: urn:nbn:se:hh:diva-1633Local ID: 2082/2014OAI: oai:DiVA.org:hh-1633DiVA, id: diva2:238851
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2009-10-26

Open Access in DiVA

fulltext(3054 kB)126 downloads
File information
File name FULLTEXT01.pdfFile size 3054 kBChecksum MD5
e678cb91e90fc9fc4fea9ce4265dc50bce3a006953f354d152135720b7180667b5085af66d2f49e919eb3c6dc568e54c2b17e02217780c7fa4d9a4e81a67f9e248eb145fc419da1a45a747d5fa4dbf71
Type fulltextMimetype application/pdf

By organisation
Halmstad University

Search outside of DiVA

GoogleGoogle Scholar
Total: 126 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 249 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf