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EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES

    https://doi.org/10.1142/S021902490700407XCited by:25 (Source: Crossref)

    Families of explicit solutions are found to a nonlinear Black–Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving a nonlinear Black–Scholes equation.

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