Stationary solutions for two nonlinear Black-Scholes type equations

We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a mo...

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Detalles Bibliográficos
Autores principales: Amster, P., Averbuj, C.G., Mariani, M.C., Castilo J.E., Pereyra V.
Formato: JOUR
Materias:
Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_01689274_v47_n3-4_p275_Amster
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_01689274_v47_n3-4_p275_Amster
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spelling todo:paper_01689274_v47_n3-4_p275_Amster2023-10-03T15:06:47Z Stationary solutions for two nonlinear Black-Scholes type equations Amster, P. Averbuj, C.G. Mariani, M.C. Castilo J.E. Pereyra V. Brownian movement Differential equations Mathematical models Problem solving Topology Volatility Nonlinear equations We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a model with transaction costs. © 2003 IMACS. Published by Elsevier B.V. All rights reserved. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_01689274_v47_n3-4_p275_Amster
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
spellingShingle Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
Amster, P.
Averbuj, C.G.
Mariani, M.C.
Castilo J.E.
Pereyra V.
Stationary solutions for two nonlinear Black-Scholes type equations
topic_facet Brownian movement
Differential equations
Mathematical models
Problem solving
Topology
Volatility
Nonlinear equations
description We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a model with transaction costs. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.
format JOUR
author Amster, P.
Averbuj, C.G.
Mariani, M.C.
Castilo J.E.
Pereyra V.
author_facet Amster, P.
Averbuj, C.G.
Mariani, M.C.
Castilo J.E.
Pereyra V.
author_sort Amster, P.
title Stationary solutions for two nonlinear Black-Scholes type equations
title_short Stationary solutions for two nonlinear Black-Scholes type equations
title_full Stationary solutions for two nonlinear Black-Scholes type equations
title_fullStr Stationary solutions for two nonlinear Black-Scholes type equations
title_full_unstemmed Stationary solutions for two nonlinear Black-Scholes type equations
title_sort stationary solutions for two nonlinear black-scholes type equations
url http://hdl.handle.net/20.500.12110/paper_01689274_v47_n3-4_p275_Amster
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AT marianimc stationarysolutionsfortwononlinearblackscholestypeequations
AT castiloje stationarysolutionsfortwononlinearblackscholestypeequations
AT pereyrav stationarysolutionsfortwononlinearblackscholestypeequations
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