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: JOUR
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 todo:paper_0022247X_v276_n1_p231_Amster2023-10-03T14:29:07Z Solutions to a stationary nonlinear Black-Scholes type equation 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. JOUR 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)
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 JOUR
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
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
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