<p>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.</p>
| Identifer | oai:union.ndltd.org:UPSALLA/oai:DiVA.org:hh-3251 |
| Date | January 2009 |
| Creators | Petrova, Liudmila, Ivkina, Liubov |
| Publisher | Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE) |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, text |
Page generated in 0.0023 seconds