A note on a stationary problem for a Black-Scholes equation with transaction cost

Detalhes bibliográficos
Autor(a) principal: Grossinho, Maria do Rosário
Data de Publicação: 2009
Outros Autores: Morais, E.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27639
Resumo: In this paper, we consider the nonlinear Black-Scholes equation arising in certain option pricing models with transaction costs. Following the classical Leland approach and applying Itô’s Lemma, the stochastic model yields the nonlinear parabolic partial differential equation for the option price ….
id RCAP_3f74e7800bc499c1d9da25fbb0f320df
oai_identifier_str oai:www.repository.utl.pt:10400.5/27639
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling A note on a stationary problem for a Black-Scholes equation with transaction costNonlinear Black-Scholes EquationTransaction CostsStationary Convex SolutionsUpper and Lower SolutionExistence and LocalizationIn this paper, we consider the nonlinear Black-Scholes equation arising in certain option pricing models with transaction costs. Following the classical Leland approach and applying Itô’s Lemma, the stochastic model yields the nonlinear parabolic partial differential equation for the option price ….Academic PublicationsRepositório da Universidade de LisboaGrossinho, Maria do RosárioMorais, E.2023-04-17T13:56:41Z20092009-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27639engGrossinho, Maria do Rosário and E. Morais. (2009). "A note on a stationary problem for a Black-Scholes equation with transaction costs”. International Journal of Pure and Applied Mathematics, Vol. 51, No.4: pp. 557-5651311-8080info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-04-23T01:30:50Zoai:www.repository.utl.pt:10400.5/27639Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:50:08.797852Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A note on a stationary problem for a Black-Scholes equation with transaction cost
title A note on a stationary problem for a Black-Scholes equation with transaction cost
spellingShingle A note on a stationary problem for a Black-Scholes equation with transaction cost
Grossinho, Maria do Rosário
Nonlinear Black-Scholes Equation
Transaction Costs
Stationary Convex Solutions
Upper and Lower Solution
Existence and Localization
title_short A note on a stationary problem for a Black-Scholes equation with transaction cost
title_full A note on a stationary problem for a Black-Scholes equation with transaction cost
title_fullStr A note on a stationary problem for a Black-Scholes equation with transaction cost
title_full_unstemmed A note on a stationary problem for a Black-Scholes equation with transaction cost
title_sort A note on a stationary problem for a Black-Scholes equation with transaction cost
author Grossinho, Maria do Rosário
author_facet Grossinho, Maria do Rosário
Morais, E.
author_role author
author2 Morais, E.
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Grossinho, Maria do Rosário
Morais, E.
dc.subject.por.fl_str_mv Nonlinear Black-Scholes Equation
Transaction Costs
Stationary Convex Solutions
Upper and Lower Solution
Existence and Localization
topic Nonlinear Black-Scholes Equation
Transaction Costs
Stationary Convex Solutions
Upper and Lower Solution
Existence and Localization
description In this paper, we consider the nonlinear Black-Scholes equation arising in certain option pricing models with transaction costs. Following the classical Leland approach and applying Itô’s Lemma, the stochastic model yields the nonlinear parabolic partial differential equation for the option price ….
publishDate 2009
dc.date.none.fl_str_mv 2009
2009-01-01T00:00:00Z
2023-04-17T13:56:41Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/27639
url http://hdl.handle.net/10400.5/27639
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Grossinho, Maria do Rosário and E. Morais. (2009). "A note on a stationary problem for a Black-Scholes equation with transaction costs”. International Journal of Pure and Applied Mathematics, Vol. 51, No.4: pp. 557-565
1311-8080
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Academic Publications
publisher.none.fl_str_mv Academic Publications
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131581146726400

Registros relacionados