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Models of self-financing hedging strategies in illiquid markets: symmetry reductions and exact solutions
nonlinear PDEs illiquid markets option pricing invariant reductions
2010/10/21
We study the general model of self-financing trading strategies in illiquid markets introduced by Schoenbucher and Wilmott, 2000. A hedging strategy in the framework of this model satisfies a nonlinea...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...