A Black-Scholes option pricing model with transaction costs

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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, P., Averbuj, C.G., Mariani, M.C., Rial, D.
Formato: JOUR
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_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_v303_n2_p688_Amster2023-10-03T14:29:07Z A Black-Scholes option pricing model with transaction costs Amster, P. Averbuj, C.G. Mariani, M.C. Rial, D. 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. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar 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.
format JOUR
author Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
spellingShingle Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
A Black-Scholes option pricing model with transaction costs
author_facet Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
author_sort Amster, P.
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
url http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_Amster
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AT averbujcg blackscholesoptionpricingmodelwithtransactioncosts
AT marianimc blackscholesoptionpricingmodelwithtransactioncosts
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