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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