Solutions to a stationary nonlinear Black-Scholes type equation

DOI10.1016/S0022-247X(02)00434-1zbMath1027.60077OpenAlexW2084210474MaRDI QIDQ1856977

C. G. Averbuj, Maria Christina Mariani, Pablo Amster

Publication date: 11 February 2003

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

Full work available at URL: https://doi.org/10.1016/s0022-247x(02)00434-1

zbMATH Keywords

partial differential equationBlack-Scholes formulaBlack-Scholes type equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear parabolic equations (35K55) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (9)

Positive solutions of a Dirichlet problem for a stationary nonlinear Black-Scholes equation ⋮ A parabolic problem arising in financial mathematics ⋮ Solutions to integro-differential problems arising on pricing options in a Lévy market ⋮ Hahn hybrid functions for solving distributed order fractional Black–Scholes European option pricing problem arising in financial market ⋮ Unnamed Item ⋮ A Black--Scholes option pricing model with transaction costs ⋮ Controllability and hedgibility of Black-Scholes equations with \(N\) stocks ⋮ Fractional Black-Scholes model with regularized Prabhakar derivative ⋮ Solutions of nonlinear elliptic equations in unbounded Lipschitz domains

Cites Work

• A Risk-Neutral Stochastic Volatility Model
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