Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation

Fabião, Fátima; Grossinho, Maria do Rosário; Simões, Onofre Alves

http://hdl.handle.net/10400.5/27634

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Autores

Fabião, Fátima

Grossinho, Maria do Rosário

Simões, Onofre Alves

Resumo(s)

In this paper, we study the existence of stationary solutions of a nonlinear Black–Scholes type equation that concerns an option pricing model with stochastic volatility…

Palavras-chave

Black–Scholes Equation Stochastic Volatility Stationary Solutions Existence and localization

URI

http://hdl.handle.net/10400.5/27634

Citação

Fabião, Fátima, Maria do Rosário Grossinho and Onofre Alves Simões .(2009). “Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation”. Nonlinear Analysis, Vol. 71: pp. 4624–4631. (Search PDF in 2023).

Editora

Elsevier

DOI

10.1016/j.na.2009.03.026

Coleções

CEMAPRE - Artigos em Revistas Internacionais / Articles in International Journals

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