A Black--Scholes option pricing model with transaction costs

DOI10.1016/j.jmaa.2004.08.067zbMath1114.91044OpenAlexW2061357939MaRDI QIDQ1771008

C. G. Averbuj, Pablo Amster, Maria Christina Mariani, D. F. Rial

Publication date: 7 April 2005

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2004.08.067

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Nonlinear boundary value problems for ordinary differential equations (34B15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (25)

On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs ⋮ Analysis of the nonlinear option pricing model under variable transaction costs ⋮ Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ THE NUMERICAL STRATEGY OF TEMPERED FRACTIONAL DERIVATIVE IN EUROPEAN DOUBLE BARRIER OPTION ⋮ A study on the impact of nonlinear source term in Black-Scholes option pricing model ⋮ A numerical study of the utility-indifference approach for pricing American options ⋮ Symmetry reduction and exact solutions of the non-linear Black-Scholes equation ⋮ Unnamed Item ⋮ Group classification for a class of non-linear models of the RAPM type ⋮ Remarks on the nonlinear Black-Scholes equations with the effect of transaction costs ⋮ Nonlinear Parabolic Equations Arising in Mathematical Finance ⋮ Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations ⋮ On the Hoggard-Whalley-Wilmott equation for the pricing of options with transaction costs ⋮ Nonlinear PDE model for European options with transaction costs under Heston stochastic volatility ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs ⋮ Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition ⋮ Controllability and hedgibility of Black-Scholes equations with \(N\) stocks ⋮ Utility-indifference pricing of European options with proportional transaction costs ⋮ The numerical simulation of the tempered fractional Black-Scholes equation for European double barrier option ⋮ GENERALIZED JACOBI REPRODUCING KERNEL METHOD IN HILBERT SPACES FOR SOLVING THE BLACK-SCHOLES OPTION PRICING PROBLEM ARISING IN FINANCIAL MODELLING ⋮ Determination of a source term in a partial differential equation arising in finance ⋮ Levy models and long correlations applied to the study of exchange traded funds ⋮ Exact null controllability of a semilinear parabolic equation arising in finance ⋮ A Second Order Numerical Scheme for Fractional Option Pricing Models

Cites Work

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• Solutions to a stationary nonlinear Black-Scholes type equation
• Dynamic hedging portfolios for derivative securities in the presence of large transaction costs

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