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On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab.
2008 (English)In: Mathematical control theory and finance / [ed] Andrey Sarychev; et al, Berlin: Springer Berlin/Heidelberg, 2008, 71-94 p.Conference paper, (Other academic)
Abstract [en]

The present model describes a perfect hedging strategy for a large trader. In this case the hedging strategy affects the price of the underlying security. The feedback-effect leads to a nonlinear version of the Black-Scholes partial differential equation. Using Lie group theory we reduce in special cases the partial differential equation to some ordinary differential equations. The Lie group found for the model equation gives rise to invariant solutions. Families of exact invariant solutions for special values of parameters are described.

Place, publisher, year, edition, pages
Berlin: Springer Berlin/Heidelberg, 2008. 71-94 p.
Keyword [en]
Hedging strategy, Control theory, Finance, mathematical models
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:hh:diva-5856DOI: 10.1007/978-3-540-69532-5_5ISI: 000260160700005ISBN: 978-3-540-69531-8 ISBN: 3-540-69531-1 ISBN: 978-3-540-69532-5 OAI: oai:DiVA.org:hh-5856DiVA: diva2:352451
Conference
Workshop on Mathematical Control Theory and Finance, Lisabon, PORTUGAL, 10-14 April, 2007
Available from: 2010-09-22 Created: 2010-09-21 Last updated: 2013-03-13Bibliographically approved

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Bordag, Ljudmila A.
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • 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