Group Classification for a General Nonlinear Model of Options Pricing

Fedorov, V. E.; Dyshaev, M. M.

doi:10.15826/umj.2016.2.004

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Поле DC	Значение	Язык
dc.contributor.author	Fedorov, V. E.	en
dc.contributor.author	Dyshaev, M. M.	en
dc.date.accessioned	2020-10-30T12:54:04Z	-
dc.date.available	2020-10-30T12:54:04Z	-
dc.date.issued	2016	-
dc.identifier.citation	Fedorov V. E. Group Classification for a General Nonlinear Model of Options Pricing / V. E. Fedorov, M. M. Dyshaev. — DOI 10.15826/umj.2016.2.004. — Text : electronic // Ural Mathematical Journal. — 2016. — Volume 2. — № 2. — P. 37-44.	en
dc.identifier.issn	2414-3952	-
dc.identifier.uri	http://elar.urfu.ru/handle/10995/93101	-
dc.description.abstract	We consider a family of equations with two free functional parameters containing the classical Black–Scholes model, Schönbucher–Wilmott model, Sircar–Papanicolaou equation for option pricing as partial cases. A five-dimensional group of equivalence transformations is calculated for that family. That group is applied to a search for specifications' parameters specifications corresponding to additional symmetries of the equation. Seven pairs of specifications are found.	en
dc.description.sponsorship	The work is partially supported by Laboratory of Quantum Topology of Chelyabinsk State University (Russian Federation government grant 14.Z50.31.0020).	en
dc.format.mimetype	application/pdf	en
dc.language.iso	en	en
dc.publisher	N.N. Krasovskii Institute of Mathematics and Mechanics of the Ural Branch of Russian Academy of Sciences	en
dc.publisher	Ural Federal University named after the first President of Russia B.N. Yeltsin	en
dc.relation.ispartof	Ural Mathematical Journal. 2016. Volume 2. № 2	en
dc.rights	Creative Commons Attribution License	en
dc.rights.uri	https://creativecommons.org/licenses/by/4.0/	-
dc.subject	NONLINEAR PARTIAL DIFFERENTIAL EQUATION	en
dc.subject	GROUP ANALYSIS	en
dc.subject	GROUP OF EQUIVALENCY TRANSFORMATIONS	en
dc.subject	GROUP CLASSIFICATION	en
dc.subject	NONLINEAR BLACK–SCHOLES EQUATION	en
dc.subject	OPTION PRICING	en
dc.subject	DYNAMIC HEDGING	en
dc.subject	FEEDBACK EFFECTS OF HEDGING	en
dc.title	Group Classification for a General Nonlinear Model of Options Pricing	en
dc.type	Article	en
dc.type	info:eu-repo/semantics/article	en
dc.type	info:eu-repo/semantics/publishedVersion	en
dc.identifier.doi	10.15826/umj.2016.2.004	-
local.description.firstpage	37	-
local.description.lastpage	44	-
local.issue	2	-
local.volume	2	-
Располагается в коллекциях:	Ural Mathematical Journal

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