solution to a nonlinear black-scholes equation
Clicks: 34
ID: 257256
2011
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Abstract
Option pricing with transaction costs leads to a nonlinear Black-Scholes type equation where the nonlinear term reflects the presence of transaction costs. Under suitable conditions, we prove the existence of weak solutions in a bounded domain and we extend the results to the whole domain using a diagonal process.
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mariani2011electronicsolution
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| Authors | ;Maria Cristina Mariani;Emmanuel Kengni Ncheuguim;Indranil SenGupta |
| Journal | icsoft 2006 - 1st international conference on software and data technologies, proceedings |
| Year | 2011 |
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