Essays about: "Sircar-Papanicolaou model"
Found 1 essay containing the words Sircar-Papanicolaou model.
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1. Study of the group properties of the Sircar-Papanicolaou model in case of a nonlinear utility function
University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)Abstract : 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. READ MORE
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