Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
DOI10.1016/J.NONRWA.2010.10.003zbMATH Open1215.35040OpenAlexW2029591095MaRDI QIDQ533028FDOQ533028
Authors: Yong-Cai Geng, Sumit K. Garg 
Publication date: 2 May 2011
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2010.10.003
Recommendations
- Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
- On properties of solutions to Black-Scholes-Barenblatt equations
- scientific article; zbMATH DE number 5802172
- Solution to a nonlinear Black-Scholes equation
- Properties of utility function for Barles and Soner model
Quasilinear parabolic equations (35K59) Comparison principles in context of PDEs (35B51) Hypoelliptic equations (35H10) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80)
Cites Work
- The pricing of options and corporate liabilities
- Hypoelliptic second order differential equations
- User’s guide to viscosity solutions of second order partial differential equations
- Title not available (Why is that?)
- Liquidity risk and arbitrage pricing theory
- Title not available (Why is that?)
- Option pricing with transaction costs and a nonlinear Black-Scholes equation
- The Mathematics of Financial Derivatives
- Title not available (Why is that?)
- Market volatility and feedback effects from dynamic hedging
- Title not available (Why is that?)
- EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
- Title not available (Why is that?)
- On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
Cited In (5)
- A splitting numerical scheme for non-linear models of mathematical finance
- Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
- AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
- A second-order positivity preserving numerical method for gamma equation
- A nonlinear PDE in mathematical finance
This page was built for publication: Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q533028)
