Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation

DOI10.1016/J.NA.2009.03.026zbMATH Open1175.35050OpenAlexW1970869467MaRDI QIDQ838065FDOQ838065

Maria do Rosário Grossinho, Onofre Alves Simões, F. Fabião

Publication date: 21 August 2009

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2009.03.026

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zbMATH Keywords

stochastic volatilityupper and lower solutionsBlack-Scholes equationstationary solutionsexistence and localization

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Nonlinear elliptic equations (35J60) Variational methods for second-order elliptic equations (35J20) Nonlinear boundary value problems for linear elliptic equations (35J65)

Cites Work

• Title not available (Why is that?)
• Solutions to a stationary nonlinear Black-Scholes type equation
• Solvability of the Dirichlet-periodic problem for a nonlinear parabolic equation under conditions on the potential
• Title not available (Why is that?)
• A Risk-Neutral Stochastic Volatility Model
• Title not available (Why is that?)
• Existence of stable periodic solutions of a semilinear parabolic problem under Hammerstein-type conditions

Cited In (6)

• Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market
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• Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
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• Stationary Solutions of Some Nonlinear Black–Scholes Type Equations Arising in Option Pricing
• Fractional Black-Scholes model with regularized Prabhakar derivative

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