Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs

DOI10.1007/s10690-010-9115-3zbMath1195.91157MaRDI QIDQ1959135

Naoyuki Ishimura

Publication date: 6 October 2010

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9115-3

zbMATH Keywords

solvability; nonlinear partial differential equations; transaction costs

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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Cites Work

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