In this paper it is considered the Sircar-Papanicolaou model wich takesinto account a feedback effect of dynamic hedging strategies of pro-gramme traders. Using the Lie group analysis we describe the symmetrygroup of the main equation of the concerned model. We reduce this par-tial differential equation to the ordinary differential equations by usingcorresponding invariants of the subgroups of the main symmetry group.
Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hh-3251 |
Date | January 2009 |
Creators | Petrova, Liudmila, Ivkina, Liubov |
Publisher | Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE), Högskolan i Halmstad, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE) |
Source Sets | DiVA Archive at Upsalla University |
Language | English |
Detected Language | English |
Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
Format | application/pdf |
Rights | info:eu-repo/semantics/openAccess |
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