English, Article edition: EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES L. A. BORDAG; A. Y. CHMAKOVA

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Bookmark: http://trove.nla.gov.au/version/82803
Physical Description
  • article
Language
  • English

Edition details

Title
  • EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
Author
  • L. A. BORDAG
  • A. Y. CHMAKOVA
Physical Description
  • article
Notes
  • Families of explicit solutions are found to a nonlinear BlackâScholes 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 BlackâScholes equation.
  • BlackâScholes model, illiquidity, nonlinearity, explicit solutions
  • RePEc:wsi:ijtafx:v:10:y:2007:i:01:p:1-21
Language
  • English
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