Solutions to a stationary nonlinear Black-Scholes type equation

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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...

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Autores principales: Amster, P., Averbuj, C.G., Mariani, M.C.
Formato: Artículo publishedVersion
Publicado: 2002
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
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Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
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spelling I28-R145-paper_0022247X_v276_n1_p231_Amster_oai2024-08-16 Amster, P. Averbuj, C.G. Mariani, M.C. 2002 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. Fil:Amster, P. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Averbuj, C.G. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. Fil:Mariani, M.C. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. application/pdf http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar J. Math. Anal. Appl. 2002;276(1):231-238 Solutions to a stationary nonlinear Black-Scholes type equation info:eu-repo/semantics/article info:ar-repo/semantics/artículo info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=artiaex&d=paper_0022247X_v276_n1_p231_Amster_oai
institution Universidad de Buenos Aires
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collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
description 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.
format Artículo
Artículo
publishedVersion
author Amster, P.
Averbuj, C.G.
Mariani, M.C.
spellingShingle Amster, P.
Averbuj, C.G.
Mariani, M.C.
Solutions to a stationary nonlinear Black-Scholes type equation
author_facet Amster, P.
Averbuj, C.G.
Mariani, M.C.
author_sort Amster, P.
title Solutions to a stationary nonlinear Black-Scholes type equation
title_short Solutions to a stationary nonlinear Black-Scholes type equation
title_full Solutions to a stationary nonlinear Black-Scholes type equation
title_fullStr Solutions to a stationary nonlinear Black-Scholes type equation
title_full_unstemmed Solutions to a stationary nonlinear Black-Scholes type equation
title_sort solutions to a stationary nonlinear black-scholes type equation
publishDate 2002
url 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
work_keys_str_mv AT amsterp solutionstoastationarynonlinearblackscholestypeequation
AT averbujcg solutionstoastationarynonlinearblackscholestypeequation
AT marianimc solutionstoastationarynonlinearblackscholestypeequation
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