Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions
Pricing of Securities
2010-04-08 v1 Analysis of PDEs
Group Theory
Abstract
Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are discussed. Explicit solutions for one of the models are obtained and studied.
Keywords
Cite
@article{arxiv.0708.1568,
title = {Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions},
author = {Ljudmila A. Bordag and Ruediger Frey},
journal= {arXiv preprint arXiv:0708.1568},
year = {2010}
}
Comments
26 pages, 7 figures, 25 references