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On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs

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  • معلومة اضافية
    • Contributors:
      Universidade de Santiago de Compostela. Departamento de Estatística, Análise Matemática e Optimización
    • بيانات النشر:
      Springer
    • Collection:
      Minerva - Repositorio institucional da Universidade de Santiago de Compostela (USC)
    • نبذة مختصرة :
      We deal with some generalizations on a Black-Scholes model arising in financial mathematics. As a novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large class of problems involving Black-Scholes equation. Our main results involve the existence of extremal solutions in presence of lower and upper solutions. Some examples of applications are provided too. ; The first author was partially supported by Xunta de Galicia, Consellería de Cultura, Educación e Ordenación Universitaria, through the project EM2014/032 ‘Ecuacións diferenciais non lineares’; and by Ministerio de Economía y Competitividad of Spain under Grant MTM2010-15314, cofinanced by the European Community fund FEDER. The second author was partially funded by Fundação para a Ciência e Tecnologia through the project UID/Multi/00491/2013 and the Transnational Cooperation FCT Portugal-Slovakia ‘Analysis of Nonlinear Partial Differential Equations in Mathematical Finance (2013-2014)’ and by the EU Grant Program FP7-PEOPLE-2012-ITN STRIKE - ‘Novel Methods in Computational Finance’, No. 304617 (D.S.). ; SI
    • File Description:
      application/pdf
    • ISSN:
      1687-2770
    • Relation:
      https://doi.org/10.1186/s13661-015-0410-9; info:eu-repo/grantAgreement/MICINN/Plan Nacional de I+D+i 2008-2011/MTM2010-15314/ES/ECUACIONES DIFERENCIALES FUNCIONALES NO LINEALES; Figueroa, R., Grossinho, M.d.R. On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs. Bound Value Probl 2015, 145 (2015). https://doi.org/10.1186/s13661-015-0410-9; http://hdl.handle.net/10347/21774
    • الرقم المعرف:
      10.1186/s13661-015-0410-9
    • Rights:
      © 2015 Figueroa and Grossinho. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made ; http://creativecommons.org/licenses/by/4.0/ ; info:eu-repo/semantics/openAccess
    • الرقم المعرف:
      edsbas.DFF8815A