Geodesic
Invariant solutions of the Gu\'eant~--- Pu model of options pricing and hedging
Čelâbinskij fiziko-matematičeskij žurnal, Tome 6 (2021) no. 1, pp. 42-51

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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, Guéant — Pu model, Lie algebra, invariant solution. 
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     author = {Kh. V. Yadrikhinskiy and V. E. Fedorov},
     title = {Invariant solutions of the {Gu\'eant~---} {Pu} model of options pricing and hedging},
     journal = {\v{C}el\^abinskij fiziko-matemati\v{c}eskij \v{z}urnal},
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     publisher = {mathdoc},
     volume = {6},
     number = {1},
     year = {2021},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/CHFMJ_2021_6_1_a4/}
}
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Kh. V. Yadrikhinskiy; V. E. Fedorov. Invariant solutions of the Gu\'eant~--- 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/