EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES

被引：21

作者：

Bordag, L. A. ^{[1
]}

Chmakova, A. Y. ^{[2
]}

机构：

[1] Halmstad Univ, Box 823, S-30118 Halmstad, Sweden

[2] Brandenburg Tech Univ Cottbus, Fak Math Naturwissenschaften & Informat, D-03044 Cottbus, Germany

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2007年 / 10卷 / 01期

关键词：

Black-Scholes model; illiquidity; nonlinearity; explicit solutions;

D O I：

10.1142/S021902490700407X

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 numerical schemes for solving a nonlinear Black-Scholes equation.

引用

页码：1 / 21

页数：21

共 19 条

[1] Hedging in incomplete markers with HARA utility [J].