摘要翻译：
讨论了非流动性市场中衍生证券定价的几种模型。研究了由这些研究产生的一类典型的非线性偏微分方程。讨论了这些方程的标度性质。得到并研究了其中一个模型的显式解。
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英文标题：
《Nonlinear option pricing models for illiquid markets: scaling properties
  and explicit solutions》
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作者：
Ljudmila A. Bordag, Ruediger Frey
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Analysis of PDEs        偏微分方程分析
分类描述：Existence and uniqueness, boundary conditions, linear and non-linear operators, stability, soliton theory, integrable PDE's, conservation laws, qualitative dynamics
存在唯一性，边界条件，线性和非线性算子，稳定性，孤子理论，可积偏微分方程，守恒律，定性动力学
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一级分类：Mathematics        数学
二级分类：Group Theory        群论
分类描述：Finite groups, topological groups, representation theory, cohomology, classification and structure
有限群、拓扑群、表示论、上同调、分类与结构
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英文摘要：
  Several models for the pricing of derivative securities in illiquid markets are discussed. A typical type of nonlinear partial differential equations arising from these investigation is studied. The scaling properties of these equations are discussed. Explicit solutions for one of the models are obtained and studied.
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PDF链接：
https://arxiv.org/pdf/0708.1568