Add to ORKGIn this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effect of dynamic hedging strategies of pro-gramme traders. Using the Lie group analysis we describe the symmetrygroup of the main equation of the concerned model. We reduce this par-tial differential equation to the ordinary differential equations by usingcorresponding invariants of the subgroups of the main symmetry group
A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonline...
In a fairly recent paper (2008 American Control Conference, June 11-13, 1035-1039), the problem of d...
Diese Arbeit ist einer Verallgemeinerung des bekannten Black-Scholes-Modells gewidmet, welches eines...
In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effec...
The present model describes a perfect hedging strategy for a large trader. In this case the hedging ...
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hed...
We study the general model of self-financing trading strategies in illiquid markets introduced by Sc...
This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid m...
The Guéant and Pu model of option pricing and hedging, which takes into account transaction costs, a...
We study the general model of self-financing trading strategies inilliquid markets introduced by Sch...
We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for ...
We provide group invariant solutions to two nonlinear differential equations associated with the val...
In the standard modeling of the pricing of options and derivatives as generally understood these day...
We consider a bond‐pricing model described in terms of partial differential equations (PDEs). Classi...
We determine the solutions of a nonlinear Hamilton-Jacobi-Bellman equation which arises in the model...
A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonline...
In a fairly recent paper (2008 American Control Conference, June 11-13, 1035-1039), the problem of d...
Diese Arbeit ist einer Verallgemeinerung des bekannten Black-Scholes-Modells gewidmet, welches eines...
In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effec...
The present model describes a perfect hedging strategy for a large trader. In this case the hedging ...
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hed...
We study the general model of self-financing trading strategies in illiquid markets introduced by Sc...
This master project is dedicated to the analysis of one of the nancialmarket models in an illiquid m...
The Guéant and Pu model of option pricing and hedging, which takes into account transaction costs, a...
We study the general model of self-financing trading strategies inilliquid markets introduced by Sch...
We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for ...
We provide group invariant solutions to two nonlinear differential equations associated with the val...
In the standard modeling of the pricing of options and derivatives as generally understood these day...
We consider a bond‐pricing model described in terms of partial differential equations (PDEs). Classi...
We determine the solutions of a nonlinear Hamilton-Jacobi-Bellman equation which arises in the model...
A first-order feedback model of option pricing consisting of a coupled system of two PDEs, a nonline...
In a fairly recent paper (2008 American Control Conference, June 11-13, 1035-1039), the problem of d...
Diese Arbeit ist einer Verallgemeinerung des bekannten Black-Scholes-Modells gewidmet, welches eines...