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

DOI10.1186/S13661-015-0410-9zbMATH Open1342.35401arXiv1304.1690OpenAlexW1894219443WikidataQ59403057 ScholiaQ59403057MaRDI QIDQ283474FDOQ283474

Authors: Rubén Figueroa, Maria do Rosário Grossinho 

Publication date: 13 May 2016

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

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.

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Two-point boundary value problems. Lower and upper solutions
• Title not available (Why is that?)
• A Black--Scholes option pricing model with transaction costs
• Monotone iterative methods for boundary value problems
• A fully nonlinear problem arising in financial modelling
• A note on a stationary problem for a Black-Scholes equation with transaction costs
• Nonresonance conditions and extremal solutions for first-order impulsive problems under weak assumptions

Cited In (7)

• Boundary-value problems for PDEs arising in the valuation of structured financial products
• The exact traveling wave solutions of a class of generalized Black-Scholes equation
• Generalized Jacobi reproducing kernel method in Hilbert spaces for solving the Black-Scholes option pricing problem arising in financial modelling
• A Black--Scholes option pricing model with transaction costs
• A fully nonlinear problem arising in financial modelling
• Title not available (Why is that?)
• Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs

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