Title of article
Solutions to a stationary nonlinear Black–Scholes type equation
Author/Authors
P. Amster، نويسنده , , C.G. Averbuj، نويسنده , , M.C. Mariani، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2002
Pages
8
From page
231
To page
238
Abstract
We study by topological methods a nonlinear differential equation generalizing the
Black–Scholes formula for an option pricing model with stochastic volatility. We prove
the existence of at least a solution of the stationary Dirichlet problem applying an upper
and lower solutions method. Moreover, we construct a solution by an iterative procedure.
2002 Elsevier Science (USA). All rights reserved
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2002
Journal title
Journal of Mathematical Analysis and Applications
Record number
930303
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