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

DOI10.1016/J.NONRWA.2009.10.004MaRDI QIDQ984569zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

(5)

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

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