Lie Symmetry Analysis of a Nonlinear Black–Scholes Equation in Illiquid Markets
We have conducted comprehensive Lie symmetry analysis of a nonlinear Black–Scholes equation that arises in illiquid markets. The equation incorporates nonlinearities arising from market constraints, such as transaction costs and liquidity effects. We have identified the admitted Lie point symmetries...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2025-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/ijmm/4823421 |
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