A fully nonlinear problem arising in financial modelling

Boundary value problems

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