Invariant solutions for nonlinear models of illiquid markets

A general nonlinear model of illiquid markets with feedback effects is considered. This equation with 2 free functional parameters contains as partial cases the classical Black‐Scholes equation, Schönbucher‐Wilmott equation, and Sircar‐Papanicolaou equation of option pricing. We obtain here the complete group classification of the equation, and for every parameters specification we obtain the principal Lie algebra and its optimal system of 1‐dimensional subalgerbras. For every such subalgebra we calculate the invariant submodel and invariant solution, when it is possible. Thus, the series of invariant submodels and invariant solutions are derived for the considered nonlinear model.