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

DOI10.1186/S13661-015-0410-9MaRDI QIDQ283474zbMATH OpenOpenAlexWikidataFDO

Authors Rubén Figueroa, Maria do Rosário Grossinho

Publication date 13 May 2016

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

Copyright license Creative Commons Attribution 4.0 International

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)

Abstract: We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large class of problems involving Black--Scholes equation. Our main results involve the existence of extremal solutions in presence of lower and upper solutions. Some examples of application are provided too.

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Cites work

• scientific article; zbMATH DE number 625163 (Why is no real title available?)
• A Black--Scholes option pricing model with transaction costs
• A fully nonlinear problem arising in financial modelling
• A note on a stationary problem for a Black-Scholes equation with transaction costs
• Monotone iterative methods for boundary value problems
• Nonresonance conditions and extremal solutions for first-order impulsive problems under weak assumptions
• The pricing of options and corporate liabilities
• Two-point boundary value problems. Lower and upper solutions

Cited in

(7)

• A Black--Scholes option pricing model with transaction costs
• The exact traveling wave solutions of a class of generalized Black-Scholes equation
• Boundary-value problems for PDEs arising in the valuation of structured financial products
• Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling
• scientific article; zbMATH DE number 7174153 (Why is no real title available?)
• Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs
• A fully nonlinear problem arising in financial modelling

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