Pricing options in illiquid markets: symmetry reductions and exact solutions

The corresponding symmetry algebra admitted by this equation, an optimal system of subalgebras, the set of invariant reductions and in some cases also exact invariant solutions

We have specified and estimated some hierarchical correlation function and factor analytic models of the correlation matrix for natural gas futures returns.. Statistical tests,

To price these options by the means of differential equations we view the knock-in option as a knock-out contract paying zero at maturity if the barrier is not hit and paying a

Using the data proxy in table 3 under chapter 3, it was not only possible to price allowances out of the budget in the base scenario, but it was possible to apply the data on

We will consider an existing and widely accepted electricity price process model, use the finite volume method to formulate a numerical scheme in order to calibrate the prices of

The difference is that a European option only gives the owner the right to exercise at a specific time in the future, whereas an American option can be exercised at any time up

We recommend for the further researches to examine the the considered method for other types of the exotic options, to implement the Laplace transform on the Merton model and

It can be noted that for all of the observed underlying assets, the option prices shows sign of ambiguity aversion of the investors and market participants due to fact that the