Sökning: "Maxim Bobrov"

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  1. 1. The fair price evaluation problem in illiquid markets : a Lie group analysis of a nonlinear model

    Magister-uppsats, Högskolan i Halmstad

    Författare :Maxim Bobrov; []
    Nyckelord :illiquid markets; Lie group analysis;

    Sammanfattning : We consider one transaction costs model which was suggested by Cetin, Jarrow and Protter (2004) for an illiquid market. In this case the hedging strategy of programming traders can affect the assets prises. We study the corresponding partial differential equation (PDE) which is a non-linear Black-Scholes equation for illiquid markets. LÄS MER