期刊论文详细信息
Boundary value problems | |
A fully nonlinear problem arising in financial modelling | |
Maria do Rosrio Grossinho1  Eva Morais1  | |
[1] ISEG, CEMAPRE - Technical University of Lisbon, Lisboa, Portugal | |
关键词: Transaction Cost; Option Price; Auxiliary Problem; Solution Versus; Underlying Asset; | |
DOI : 10.1186/1687-2770-2013-146 | |
学科分类:数学(综合) | |
来源: SpringerOpen | |
【 摘 要 】
We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of transaction costs in the classical Black-Scholes model. Our result concerns stationary solutions which become interesting in finance when the time does not play a relevant role such as, for instance, in perpetual options.
【 授权许可】
CC BY
【 预 览 】
Files | Size | Format | View |
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RO201904022976085ZK.pdf | 266KB | download |