Symmetry Analysis of a Model of Option Pricing and Hedging
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DOI: 10.3390/sym14091841
Abstract: The Guéant and Pu model of option pricing and hedging, which takes into account transaction costs, and the impact of operations on the market is studied by group analysis methods. The infinite-dimensional continuous group of… read more here.
Keywords: option pricing; pricing hedging; model option; model ... See more keywords