Symmetry analysis of the option pricing model with dividend yield from financial markets

Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model

Programming Option Pricing Financial Models with Ct

Option pricing and risk assessment are important techniques in modern financial engineering. Increasingly, financial engineers are exploring how to implement computation-intensive option pricing models efficiently on evolving modern architectures. This application note describes how to use the Ct programming model to implement several option pricing models—namely, the Black-Scholes, Binomial Tr...

Option Pricing In Incomplete Markets

Option pricing in incomplete markets

Expectedutilitymaximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both th...

Symmetry Reductions of a Nonlinear Option Pricing Model

The studied model was suggested to design a perfect hedging strategy for a large trader. In this case the implementation of a hedging strategy affects the price of the underlying security. The feedback-effect leads to a nonlinear version of the Black-Scholes partial differential equation. Using the Lie group theory we reduce the partial differential equation in special cases to ordinary differe...