Recursion Operators for the Guéant–Pu Model

A partial case of the Guéant–Pu model of options pricing, which takes into account transaction costs and the impact of operations on the market in the absence of a permanent market impact, is considered. Three recursion operators for the considered equation are found using P. Olver’s criterion. An h...

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Bibliographic Details
Published in:Lobachevskii journal of mathematics 2023-03, Vol.44 (3), p.1236-1240
Main Authors: Yadrikhinskiy, Kh. V., Fedorov, V. E.
Format: Article
Language:English
Subjects:
Algebra
Analysis
Geometry
Mathematical Logic and Foundations
Mathematics
Mathematics and Statistics
Operators
Probability Theory and Stochastic Processes
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Summary:A partial case of the Guéant–Pu model of options pricing, which takes into account transaction costs and the impact of operations on the market in the absence of a permanent market impact, is considered. Three recursion operators for the considered equation are found using P. Olver’s criterion. An hierarchy of generalized symmetries for the model is constructed using the recursion operators.
ISSN:1995-0802
1818-9962
DOI:10.1134/S1995080223030344