A note on a stationary problem for a Black-Scholes equation with transaction cost

Grossinho, Maria do Rosário; Morais, E.

http://hdl.handle.net/10400.5/27639

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Autores

Grossinho, Maria do Rosário

Morais, E.

Resumo(s)

In this paper, we consider the nonlinear Black-Scholes equation arising in certain option pricing models with transaction costs. Following the classical Leland approach and applying Itô’s Lemma, the stochastic model yields the nonlinear parabolic partial differential equation for the option price ….

Palavras-chave

Nonlinear Black-Scholes Equation Transaction Costs Stationary Convex Solutions Upper and Lower Solution Existence and Localization

URI

http://hdl.handle.net/10400.5/27639

Citação

Grossinho, Maria do Rosário and E. Morais. (2009). "A note on a stationary problem for a Black-Scholes equation with transaction costs”. International Journal of Pure and Applied Mathematics, Vol. 51, No.4: pp. 557-565

Editora

Academic Publications

Coleções

DM -Artigos em Revistas Internacionais / Articles in International Journals

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