Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions

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.

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Year of publication:	2007-08
Authors:	Bordag, Ljudmila A. ; Frey, Ruediger
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in book: "Nonlinear Models in Mathematical Finance. New Research Trends in Option Pricing.", 2009, pp103-130; ISBN 978-1-60456-931-5, Nova Science Publicher, Inc.
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083856