Explicit solutions for a nonlinear model of financial derivatives

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.

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Year of publication:	2006-04
Authors:	Bordag, Ljudmila A. ; Chmakova, Alina Z.
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in International Journal of Theoretical and Applied Finance (IJTAF), 2007, v. 10, no 1, pp 1-21.
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005098739