ANALYTIC SOLUTION OF A NONLINEAR BLACK-SCHOLES EQUATION

DOI10.12732/ijpam.v82i4.4zbMath1264.35115OpenAlexW2072652612MaRDI QIDQ4917760

Joseph Eyang'An Esekon

Publication date: 2 May 2013

Published in: International Journal of Pure and Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: http://ijpam.eu/contents/2013-82-4/4/index.html

zbMATH Keywords

porous medium equationtransaction costilliquid marketslocalizing boundary conditions

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Traveling wave solutions (35C07)

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Exact solutions and numerical simulation for Bakstein-Howison model ⋮ On splitting-based numerical methods for nonlinear models of European options ⋮ Analytical solutions of a time-fractional nonlinear transaction-cost model for stock option valuation in an illiquid market setting driven by a relaxed Black–Scholes assumption ⋮ A nonlinear option pricing model through the Adomian decomposition method

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