Solutions to a stationary nonlinear Black-Scholes type equation

Autores
Amster, P.; Averbuj, C.G.; Mariani, M.C.
Año de publicación
2002
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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, we construct a solution by an iterative procedure. © 2002 Elsevier Science (USA). 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.
Fuente
J. Math. Anal. Appl. 2002;276(1):231-238
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by/2.5/ar
Repositorio
Biblioteca Digital (UBA-FCEN)
Institución
Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
OAI Identificador
paperaa:paper_0022247X_v276_n1_p231_Amster
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network_name_str Biblioteca Digital (UBA-FCEN)
spelling Solutions to a stationary nonlinear Black-Scholes type equationAmster, P.Averbuj, C.G.Mariani, M.C.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, we construct a solution by an iterative procedure. © 2002 Elsevier Science (USA). 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.2002info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfhttp://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_AmsterJ. Math. Anal. Appl. 2002;276(1):231-238reponame:Biblioteca Digital (UBA-FCEN)instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesinstacron:UBA-FCENenginfo:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/2.5/ar2025-10-16T09:30:09Zpaperaa:paper_0022247X_v276_n1_p231_AmsterInstitucionalhttps://digital.bl.fcen.uba.ar/Universidad públicaNo correspondehttps://digital.bl.fcen.uba.ar/cgi-bin/oaiserver.cgiana@bl.fcen.uba.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:18962025-10-16 09:30:11.451Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesfalse
dc.title.none.fl_str_mv Solutions to a stationary nonlinear Black-Scholes type equation
title Solutions to a stationary nonlinear Black-Scholes type equation
spellingShingle Solutions to a stationary nonlinear Black-Scholes type equation
Amster, P.
title_short Solutions to a stationary nonlinear Black-Scholes type equation
title_full Solutions to a stationary nonlinear Black-Scholes type equation
title_fullStr Solutions to a stationary nonlinear Black-Scholes type equation
title_full_unstemmed Solutions to a stationary nonlinear Black-Scholes type equation
title_sort Solutions to a stationary nonlinear Black-Scholes type equation
dc.creator.none.fl_str_mv Amster, P.
Averbuj, C.G.
Mariani, M.C.
author Amster, P.
author_facet Amster, P.
Averbuj, C.G.
Mariani, M.C.
author_role author
author2 Averbuj, C.G.
Mariani, M.C.
author2_role author
author
dc.description.none.fl_txt_mv 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, we construct a solution by an iterative procedure. © 2002 Elsevier Science (USA). 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.
description 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, we construct a solution by an iterative procedure. © 2002 Elsevier Science (USA). All rights reserved.
publishDate 2002
dc.date.none.fl_str_mv 2002
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster
url http://hdl.handle.net/20.500.12110/paper_0022247X_v276_n1_p231_Amster
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
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dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv J. Math. Anal. Appl. 2002;276(1):231-238
reponame:Biblioteca Digital (UBA-FCEN)
instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
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repository.name.fl_str_mv Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
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