|Institution:||Högskolan i Halmstad|
|Keywords:||feedback; hedging; traders; illiquid; symmetry; analysis; Lie; algebra; Financial Mathematics; Finansiell matematik; Physics, Chemistry, Mathematics; fysik/kemi/matematik|
|Full text PDF:||http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1636|
The master thesis is devoted to an analysis of equilibrium or reaction-function models in illiquidity markets of derivatives. The main equation is a nonlinear equation which is a perturbation of Black-Scholes model. By using analytical methods we study invariant and scaling properties for the considered model.