On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs

DOI10.1186/S13661-015-0410-9zbMath1342.35401arXiv1304.1690OpenAlexW1894219443WikidataQ59403057 ScholiaQ59403057MaRDI QIDQ283474

Maria do Rosário Grossinho, Rubén Figueroa

Publication date: 13 May 2016

Published in: Boundary Value Problems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.1690

zbMATH Keywords

Black-Scholes equationdiscontinuous ODE'sfunctional conditions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

GENERALIZED JACOBI REPRODUCING KERNEL METHOD IN HILBERT SPACES FOR SOLVING THE BLACK-SCHOLES OPTION PRICING PROBLEM ARISING IN FINANCIAL MODELLING ⋮ The exact traveling wave solutions of a class of generalized Black-Scholes equation

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A Black--Scholes option pricing model with transaction costs
• Monotone iterative methods for boundary value problems
• A fully nonlinear problem arising in financial modelling
• Two-point boundary value problems. Lower and upper solutions
• Nonresonance conditions and extremal solutions for first-order impulsive problems under weak assumptions

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