A Black-Scholes option pricing model with transaction costs
We consider a boundary value problem for a nonlinear differential equation which arises in an option pricing model with transaction costs. We apply the method of upper and lower solutions in order to obtain solutions for the stationary problem. Moreover, we give conditions for the existence of solut...
| Autores principales: | , , , |
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| Formato: | Artículo publishedVersion |
| Publicado: |
2005
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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_Amster https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=artiaex&d=paper_0022247X_v303_n2_p688_Amster_oai |
| Aporte de: |
| Sumario: | We consider a boundary value problem for a nonlinear differential equation which arises in an option pricing model with transaction costs. We apply the method of upper and lower solutions in order to obtain solutions for the stationary problem. Moreover, we give conditions for the existence of solutions of the general evolution equation. © 2004 Elsevier Inc. All rights reserved. |
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