Existence and uniqueness results for a semilinear Black-Scholes type equation

DOI10.1016/J.NONRWA.2009.10.004zbMATH Open1194.91211OpenAlexW2008288728MaRDI QIDQ984569FDOQ984569

Authors: R. Sowrirajan, Krishnan Balachandran 

Publication date: 20 July 2010

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2009.10.004

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zbMATH Keywords

Schauder fixed point theoremBlack-Scholes equation

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• Uniqueness, stability and numerical methods for the inverse problem that arises in financial markets
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• The Mathematics of Financial Derivatives
• The inverse problem of option pricing
• Quantum Finance
• Boundary Value Problems of Mathematical Physics: Volume 2
• A semilinear Black and Scholes partial differential equation for valuing American options
• An Inverse problem for a nonlinear parabolic equation
• Fixed point methods for a nonlinear parabolic inverse coefficient problem
• Determination of the source term in the heat conduction equation
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• On a class of nonlinear nonclassical parabolic equations
• A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting
• Pricing options with Green's functions when volatility, interest rate and barriers depend on time
• Determination of the non-linear reaction term in a coupled reaction-diffusion system
• A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options

Cited In (4)

• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
• A study on the impact of nonlinear source term in Black-Scholes option pricing model
• Existence and uniqueness of analytical solution of time‐fractional Black‐Scholes type equation involving hyper‐Bessel operator
• Existence and uniqueness of solutions of predator-prey type model with mixed boundary conditions

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