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: | Amster, Pablo Gustavo, Averbuj, Corina Gabriela, Mariani, María Cristina |
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| Publicado: |
2002
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| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v276_n1_p231_Amster http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster |
| Aporte de: |
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