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...

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Detalles Bibliográficos
Autores principales: Amster, Pablo Gustavo, Averbuj, Corina Gabriela, Mariani, María Cristina
Publicado: 2002
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
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Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
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spelling paper:paper_0022247X_v276_n1_p231_Amster2023-06-08T14:47:48Z Solutions to a stationary nonlinear Black-Scholes type equation Amster, Pablo Gustavo Averbuj, Corina Gabriela Mariani, María Cristina 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. 2002 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
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (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.
author Amster, Pablo Gustavo
Averbuj, Corina Gabriela
Mariani, María Cristina
spellingShingle Amster, Pablo Gustavo
Averbuj, Corina Gabriela
Mariani, María Cristina
Solutions to a stationary nonlinear Black-Scholes type equation
author_facet Amster, Pablo Gustavo
Averbuj, Corina Gabriela
Mariani, María Cristina
author_sort Amster, Pablo Gustavo
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 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
work_keys_str_mv AT amsterpablogustavo solutionstoastationarynonlinearblackscholestypeequation
AT averbujcorinagabriela solutionstoastationarynonlinearblackscholestypeequation
AT marianimariacristina solutionstoastationarynonlinearblackscholestypeequation
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