Solutions to a stationary nonlinear Black-Scholes type equation

Mostrar todas las versiones(3)

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...

Descripción completa

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
Descripción
Sumario: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.

Ejemplares similares