Publicação
A note on a stationary problem for a Black-Scholes equation with transaction cost
| dc.contributor.author | Grossinho, Maria do Rosário | |
| dc.contributor.author | Morais, E. | |
| dc.date.accessioned | 2023-04-17T13:56:41Z | |
| dc.date.available | 2023-04-17T13:56:41Z | |
| dc.date.issued | 2009 | |
| dc.description.abstract | 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 …. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | 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 | pt_PT |
| dc.identifier.issn | 1311-8080 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27639 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Academic Publications | pt_PT |
| dc.subject | Nonlinear Black-Scholes Equation | pt_PT |
| dc.subject | Transaction Costs | pt_PT |
| dc.subject | Stationary Convex Solutions | pt_PT |
| dc.subject | Upper and Lower Solution | pt_PT |
| dc.subject | Existence and Localization | pt_PT |
| dc.title | A note on a stationary problem for a Black-Scholes equation with transaction cost | pt_PT |
| dc.type | journal article | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | article | pt_PT |