On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs
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Publication:283474
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
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
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