Nonlinear option pricing models for illiquid markets: scaling properties and explicit solutions

Ljudmila A. Bordag and Ruediger Frey

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Abstract: Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are discussed. Explicit solutions for one of the models are obtained and studied.

Date: 2007-08
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Published in book: "Nonlinear Models in Mathematical Finance. New Research Trends in Option Pricing.", 2009, pp103-130; ISBN 978-1-60456-931-5, Nova Science Publicher, Inc.

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0708.1568

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