BORDAG, L. A.; CHMAKOVA, A. Y. - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 1-21
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...