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ЖУРНАЛЫ // Ural Mathematical Journal // Архив

Ural Math. J., 2016, том 2, выпуск 2, страницы 37–44 (Mi umj19)

Эта публикация цитируется в 5 статьях

Group classification for a general nonlinear model of option pricing

Vladimir E. Fedorova, Mikhail M. Dyshaevb

a Laboratory of Quantum Topology, Mathematical Analysis Department, Chelyabinsk State University, Chelybinsk, Russia
b Mathematical Analysis Department, Chelyabinsk State University, Chekybinsk, Russia

Аннотация: We consider a family of equations with two free functional parameters containing the classical Black-Scholes model, Schonbucher-Wilmott model, Sircar-Papanicolaou equation for option pricing as partial cases. A five-dimensional group of equivalence transformations is calculated for that family. That group is applied to a search for specifications' parameters specifications corresponding to additional symmetries of the equation. Seven pairs of specifications are found.

Ключевые слова: Nonlinear partial differential equation, Group analysis, Group of equivalency transformations, Group classiffcation, Nonlinear Black-Scholes equation, Pricing options, Dynamic hedging, Feedback effects of hedging.

Язык публикации: английский

DOI: 10.15826/umj.2016.2.004



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