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...

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Detalles Bibliográficos
Autores principales: Amster, Pablo Gustavo, Averbuj, Corina Gabriela, Mariani, María Cristina, Rial, Diego Fernando
Publicado: 2005
Acceso en línea:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v303_n2_p688_Amster
http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_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_v303_n2_p688_Amster2023-06-08T14:47:48Z A Black-Scholes option pricing model with transaction costs Amster, Pablo Gustavo Averbuj, Corina Gabriela Mariani, María Cristina Rial, Diego Fernando 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. 2005 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v303_n2_p688_Amster http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_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 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.
author Amster, Pablo Gustavo
Averbuj, Corina Gabriela
Mariani, María Cristina
Rial, Diego Fernando
spellingShingle Amster, Pablo Gustavo
Averbuj, Corina Gabriela
Mariani, María Cristina
Rial, Diego Fernando
A Black-Scholes option pricing model with transaction costs
author_facet Amster, Pablo Gustavo
Averbuj, Corina Gabriela
Mariani, María Cristina
Rial, Diego Fernando
author_sort Amster, Pablo Gustavo
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 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v303_n2_p688_Amster
http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_Amster
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