Publicação
A note on a stationary problem for a Black-Scholes equation with transaction cost
| Resumo: | 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 …. |
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| Autores principais: | Grossinho, Maria do Rosário |
| Outros Autores: | Morais, E. |
| Assunto: | Nonlinear Black-Scholes Equation Transaction Costs Stationary Convex Solutions Upper and Lower Solution Existence and Localization |
| Ano: | 2009 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | 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 …. |
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