A fully nonlinear problem arising in financial modelling

Detalhes bibliográficos
Autor(a) principal: Grossinho, Maria do Rosário
Data de Publicação: 2013
Outros Autores: Morais, Eva
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/24435
Resumo: 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.
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spelling A fully nonlinear problem arising in financial modellingFinancial ModellingTransaction CostClassical Black-Sholes ModelWe 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.SpringerRepositório da Universidade de LisboaGrossinho, Maria do RosárioMorais, Eva2022-05-31T13:16:43Z20132013-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/24435engGrossinho, Maria do Rosário, and Eva Morais. (2013). "A fully nonlinear problem arising in financial modelling" .Boundary Value Problems. A SpringerOpen Journal.info: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:RCAAP2023-04-23T01:30:45Zoai:www.repository.utl.pt:10400.5/24435Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:08:29.018390Repositório 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 fully nonlinear problem arising in financial modelling
title A fully nonlinear problem arising in financial modelling
spellingShingle A fully nonlinear problem arising in financial modelling
Grossinho, Maria do Rosário
Financial Modelling
Transaction Cost
Classical Black-Sholes Model
title_short A fully nonlinear problem arising in financial modelling
title_full A fully nonlinear problem arising in financial modelling
title_fullStr A fully nonlinear problem arising in financial modelling
title_full_unstemmed A fully nonlinear problem arising in financial modelling
title_sort A fully nonlinear problem arising in financial modelling
author Grossinho, Maria do Rosário
author_facet Grossinho, Maria do Rosário
Morais, Eva
author_role author
author2 Morais, Eva
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, Eva
dc.subject.por.fl_str_mv Financial Modelling
Transaction Cost
Classical Black-Sholes Model
topic Financial Modelling
Transaction Cost
Classical Black-Sholes Model
description 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.
publishDate 2013
dc.date.none.fl_str_mv 2013
2013-01-01T00:00:00Z
2022-05-31T13:16:43Z
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/10400.5/24435
url http://hdl.handle.net/10400.5/24435
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Grossinho, Maria do Rosário, and Eva Morais. (2013). "A fully nonlinear problem arising in financial modelling" .Boundary Value Problems. A SpringerOpen Journal.
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 Springer
publisher.none.fl_str_mv Springer
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
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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