Symmetry Analysis of a Model of Option Pricing and Hedging
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 equivalence transforms of the model is found. It is applied to get the grou...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-09-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/14/9/1841 |