Kh. V. Yadrikhinskiy, V. E. Fedorov, “Invariant solutions of the Guéant — Pu model of options pricing and hedging”, Chelyab. Fiz.-Mat. Zh., 2021, Volume 6, Issue 1,Pages <nobr>42

This article is cited in 4 papers

Mathematics

Invariant solutions of the Guéant — Pu model of options pricing and hedging

Kh. V. Yadrikhinskiy^a, V. E. Fedorov^b

^a North-Eastern Federal University named after M.K. Ammosov, Yakutsk, Russia
^b Chelyabinsk State University, Chelyabinsk, Russia

Abstract: A model of the options pricing and hedging methodology, taking into account the execution costs and market influence, related to nonlinear Black — Scholes equations, is considered. Invariant solutions are found for two-dimensional subalgebras of the five-dimensional Lie algebra of the equation under study.

Keywords: options pricing, hedging, Black — Scholes type equation, Guéant — Pu model, Lie algebra, invariant solution.

UDC: 517.95

Received: 15.02.2021
Revised: 01.03.2021

DOI: 10.47475/2500-0101-2021-16104