A Black-Scholes option pricing model with transaction costs

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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...

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Autores principales: Amster, P., Averbuj, C.G., Mariani, M.C., Rial, D.
Formato: Artículo publishedVersion
Publicado: 2005
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
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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_v303_n2_p688_Amster_oai2024-08-16 Amster, P. Averbuj, C.G. Mariani, M.C. Rial, D. 2005 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. 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. Fil:Rial, D. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales; Argentina. application/pdf http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_Amster info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar J. Math. Anal. Appl. 2005;303(2):688-695 A Black-Scholes option pricing model with transaction costs 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_v303_n2_p688_Amster_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
description 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.
format Artículo
Artículo
publishedVersion
author Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
spellingShingle Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
A Black-Scholes option pricing model with transaction costs
author_facet Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
author_sort Amster, P.
title A Black-Scholes option pricing model with transaction costs
title_short A Black-Scholes option pricing model with transaction costs
title_full A Black-Scholes option pricing model with transaction costs
title_fullStr A Black-Scholes option pricing model with transaction costs
title_full_unstemmed A Black-Scholes option pricing model with transaction costs
title_sort black-scholes option pricing model with transaction costs
publishDate 2005
url 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
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