Solutions to a stationary nonlinear Black-Scholes type equation

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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, P., Averbuj, C.G., Mariani, M.C.
Formato:	Artículo publishedVersion
Lenguaje:	Inglés
Publicado:	2002
Acceso en línea:	http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster
Aporte de:	Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires

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spelling	paperaa:paper_0022247X_v276_n1_p231_Amster2023-06-12T16:44:04Z Solutions to a stationary nonlinear Black-Scholes type equation J. Math. Anal. Appl. 2002;276(1):231-238 Amster, P. Averbuj, C.G. Mariani, M.C. 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 info:eu-repo/semantics/article info:ar-repo/semantics/artículo info:eu-repo/semantics/publishedVersion application/pdf eng info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar 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)
language	Inglés
orig_language_str_mv	eng
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.
format	Artículo Artículo publishedVersion
author	Amster, P. Averbuj, C.G. Mariani, M.C.
spellingShingle	Amster, P. Averbuj, C.G. Mariani, M.C. Solutions to a stationary nonlinear Black-Scholes type equation
author_facet	Amster, P. Averbuj, C.G. Mariani, M.C.
author_sort	Amster, P.
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	http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster
work_keys_str_mv	AT amsterp solutionstoastationarynonlinearblackscholestypeequation AT averbujcg solutionstoastationarynonlinearblackscholestypeequation AT marianimc solutionstoastationarynonlinearblackscholestypeequation
_version_	1769810219212210176

Solutions to a stationary nonlinear Black-Scholes type equation

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