Title of article
Properties of utility function for Barles and Soner model
Author/Authors
Ranjbar ، Mojtaba - Azarbaijan Shahid Madani University , Pourghanbar ، Somayeh - Azarbaijan Shahid Madani University
Pages
7
From page
117
To page
123
Abstract
The nonlinear Black-Scholes equation has been increasingly attracting interest over the last two decades, because it provides more accurate values by considering transaction costs as a viable assumption. In this paper we review the fully nonlinear Black-Scholes equation with an adjusted volatility which is a function of the second derivative of the price and then we prove two new theorems in this realistic model.
Keywords
Nonlinear Black , Scholes equation , Transaction costs , Utility function
Journal title
Computational Methods for Differential Equations
Serial Year
2019
Journal title
Computational Methods for Differential Equations
Record number
2456891
Link To Document