Geodesic
Invariant solutions of the Guéant — Pu model of options pricing and hedging
Čelâbinskij fiziko-matematičeskij žurnal, Tome 6 (2021) no. 1, pp. 42-51 Cet article a éte moissonné depuis la source Math-Net.Ru

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A model of the options pricing and hedging methodology, taking into account the execution costs and market influence, related to nonlinear Black — Scholes equations, is considered. Invariant solutions are found for two-dimensional subalgebras of the five-dimensional Lie algebra of the equation under study.
Keywords: options pricing, hedging, Black — Scholes type equation, Lie algebra
Mots-clés : Guéant — Pu model, invariant solution. 
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Kh. V. Yadrikhinskiy; V. E. Fedorov. Invariant solutions of the Guéant — Pu model of options pricing and hedging. Čelâbinskij fiziko-matematičeskij žurnal, Tome 6 (2021) no. 1, pp. 42-51. http://geodesic.mathdoc.fr/item/CHFMJ_2021_6_1_a4/

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