A Black-Scholes option pricing model with transaction costs

Autores
Amster, P.; Averbuj, C.G.; Mariani, M.C.; Rial, D.
Año de publicación
2005
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
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.
Fuente
J. Math. Anal. Appl. 2005;303(2):688-695
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_v303_n2_p688_Amster
Acceder
id BDUBAFCEN_f7c4c18c65c2d9b17de2f9e405cd2c31
oai_identifier_str paperaa:paper_0022247X_v303_n2_p688_Amster
network_acronym_str BDUBAFCEN
repository_id_str 1896
network_name_str Biblioteca Digital (UBA-FCEN)
spelling A Black-Scholes option pricing model with transaction costsAmster, 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.2005info: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_v303_n2_p688_AmsterJ. Math. Anal. Appl. 2005;303(2):688-695reponame: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/ar2025-10-16T09:30:07Zpaperaa:paper_0022247X_v303_n2_p688_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 09:30:08.68Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturalesfalse
dc.title.none.fl_str_mv A Black-Scholes option pricing model with transaction costs
title A Black-Scholes option pricing model with transaction costs
spellingShingle A Black-Scholes option pricing model with transaction costs
Amster, P.
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 A Black-Scholes option pricing model with transaction costs
dc.creator.none.fl_str_mv Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
author Amster, P.
author_facet Amster, P.
Averbuj, C.G.
Mariani, M.C.
Rial, D.
author_role author
author2 Averbuj, C.G.
Mariani, M.C.
Rial, D.
author2_role author
author
author
dc.description.none.fl_txt_mv 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.
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.
publishDate 2005
dc.date.none.fl_str_mv 2005
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_v303_n2_p688_Amster
url http://hdl.handle.net/20.500.12110/paper_0022247X_v303_n2_p688_Amster
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by/2.5/ar
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/2.5/ar
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv J. Math. Anal. Appl. 2005;303(2):688-695
reponame:Biblioteca Digital (UBA-FCEN)
instname:Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
instacron:UBA-FCEN
reponame_str Biblioteca Digital (UBA-FCEN)
collection Biblioteca Digital (UBA-FCEN)
instname_str Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
instacron_str UBA-FCEN
institution UBA-FCEN
repository.name.fl_str_mv Biblioteca Digital (UBA-FCEN) - Universidad Nacional de Buenos Aires. Facultad de Ciencias Exactas y Naturales
repository.mail.fl_str_mv ana@bl.fcen.uba.ar
_version_ 1846142846082482177
score 12.712165

Publicaciones similares