Stationary solutions for two nonlinear Black-Scholes type equations

We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a mo...

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Detalles Bibliográficos
Publicado: 2003
Materias:
Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01689274_v47_n3-4_p275_Amster
http://hdl.handle.net/20.500.12110/paper_01689274_v47_n3-4_p275_Amster
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id paper:paper_01689274_v47_n3-4_p275_Amster
record_format dspace
spelling paper:paper_01689274_v47_n3-4_p275_Amster2023-06-08T15:18:04Z Stationary solutions for two nonlinear Black-Scholes type equations Brownian movement Differential equations Mathematical models Problem solving Topology Volatility Nonlinear equations We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a model with transaction costs. © 2003 IMACS. Published by Elsevier B.V. All rights reserved. 2003 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01689274_v47_n3-4_p275_Amster http://hdl.handle.net/20.500.12110/paper_01689274_v47_n3-4_p275_Amster
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
spellingShingle Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
Stationary solutions for two nonlinear Black-Scholes type equations
topic_facet Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
description We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a model with transaction costs. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.
title Stationary solutions for two nonlinear Black-Scholes type equations
title_short Stationary solutions for two nonlinear Black-Scholes type equations
title_full Stationary solutions for two nonlinear Black-Scholes type equations
title_fullStr Stationary solutions for two nonlinear Black-Scholes type equations
title_full_unstemmed Stationary solutions for two nonlinear Black-Scholes type equations
title_sort stationary solutions for two nonlinear black-scholes type equations
publishDate 2003
url https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01689274_v47_n3-4_p275_Amster
http://hdl.handle.net/20.500.12110/paper_01689274_v47_n3-4_p275_Amster
_version_ 1768544269387169792

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