Explicit solutions for a nonlinear model of financial derivatives
Analysis of PDEs
2010-04-08 v1 Pricing of Securities
Abstract
Families of explicit solutions are found to a nonlinear Black-Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving a nonlinear Black-Scholes equation.
Keywords
Cite
@article{arxiv.math/0604117,
title = {Explicit solutions for a nonlinear model of financial derivatives},
author = {Ljudmila A. Bordag and Alina Z. Chmakova},
journal= {arXiv preprint arXiv:math/0604117},
year = {2010}
}
Comments
24 pages, 10 figures