Solution to a nonlinear Black-Scholes equation

Electronic Journal of Differential Equations

关键词: Option pricing;    Black-Scholes equation;    Sobolev space;    Schaefer's fixed point theorem;   

DOI  :  

来源: DOAJ

【 摘 要 】

Option pricing with transaction costs leads to a nonlinearBlack-Scholes type equation where the nonlinear term reflectsthe presence of transaction costs. Under suitable conditions,we prove the existence of weak solutions in a bounded domainand we extend the results to the whole domain using a diagonalprocess.

【 授权许可】

Unknown