Solutions to a stationary nonlinear Black-Scholes type equation
We study by topological methods a nonlinear differential equation generalizing the Black-Scholes formula for an option pricing model with stochastic volatility. We prove the existence of at least a solution of the stationary Dirichlet problem applying an upper and lower solutions method. Moreover, w...
| Autores principales: | , , |
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| Formato: | Artículo publishedVersion |
| Publicado: |
2002
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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=artiaex&d=paper_0022247X_v276_n1_p231_Amster_oai |
| Aporte de: |
| Sumario: | We study by topological methods a nonlinear differential equation generalizing the Black-Scholes formula for an option pricing model with stochastic volatility. We prove the existence of at least a solution of the stationary Dirichlet problem applying an upper and lower solutions method. Moreover, we construct a solution by an iterative procedure. © 2002 Elsevier Science (USA). All rights reserved. |
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