Study of the group properties of the Sircar-Papanicolaou model in case of a nonlinear utility function

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. We reduce this par-tial differential equation to the ordinary differential equations by usingcorresponding invariants of the subgroups of the main symmetry group.