A fully nonlinear problem arising in financial modelling

被引：4

作者：

Grossinho, Maria do Rosario ^{[1
]}

Morais, Eva ^{[1
,2
]}

机构：

[1] Univ Tecn Lisboa, CEMAPRE, ISEG, P-1200781 Lisbon, Portugal

[2] Univ Tras Os Montes & Alto Douro, Dept Math, P-5001801 Vila Real, Portugal

来源：

BOUNDARY VALUE PROBLEMS | 2013年

关键词：

COSTS;

D O I：

10.1186/1687-2770-2013-146

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of transaction costs in the classical Black-Scholes model. Our result concerns stationary solutions which become interesting in finance when the time does not play a relevant role such as, for instance, in perpetual options.

引用

页数：10

共 6 条

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[4] Grossinho M.R., 2009, International Journal of Pure and Applied Mathematics, V51, P579
[5] OPTION PRICING AND REPLICATION WITH TRANSACTIONS COSTS
LELAND, HE
[J]. JOURNAL OF FINANCE, 1985, 40 (05) : 1283 - 1301
[6] Mawhin J., 1985, SEMINAIRE MATH SUPER, V92

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