Abstract:
We consider a boundary value problem for a nonlinear differential equation which arises in an option pricing model with transaction costs. We apply the method of upper and lower solutions in order to obtain solutions for the stationary problem. Moreover, we give conditions for the existence of solutions of the general evolution equation. © 2004 Elsevier Inc. All rights reserved.
Registro:
Documento: |
Artículo
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Título: | A Black-Scholes option pricing model with transaction costs |
Autor: | Amster, P.; Averbuj, C.G.; Mariani, M.C.; Rial, D. |
Filiación: | Departamento de Matemática, Fac. de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Pabellón I, 1428 Buenos Aires, Argentina Department of Mathematical Sciences, New Mexico State University, Las Cruces, NM 88003-8001, United States
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Año: | 2005
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Volumen: | 303
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Número: | 2
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Página de inicio: | 688
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Página de fin: | 695
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DOI: |
http://dx.doi.org/10.1016/j.jmaa.2004.08.067 |
Título revista: | Journal of Mathematical Analysis and Applications
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Título revista abreviado: | J. Math. Anal. Appl.
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ISSN: | 0022247X
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PDF: | https://bibliotecadigital.exactas.uba.ar/download/paper/paper_0022247X_v303_n2_p688_Amster.pdf |
Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_0022247X_v303_n2_p688_Amster |
Referencias:
- Amster, P., Averbuj, C., Mariani, M.C., Solutions to a stationary nonlinear Black-Scholes type equation (2002) J. Math. Anal. Appl., 276, pp. 231-238
- Avellaneda, M., Parás, A., Dynamic hedging portfolios for derivatives securities in the presence of large transaction costs (1994) Appl. Math. Finance, 1, pp. 165-193
- Ladyzenskaja, O.A., Solonikov, V.A., Ural'ceva, N.N., (1968) Linear and Quasilinear Equations of Parabolic Type, , Providence, RI: Amer. Math. Soc
- Lieberman, G.M., (1996) Second Order Parabolic Equations, , Singapore: World Scientific
- Merton, R.C., (2000) Continuous-Time Finance, , Cambridge: Blackwell
- Wilmott, P., Dewynne, J., Howison, S., (2000) Option Pricing, , Oxford Financial Press
Citas:
---------- APA ----------
Amster, P., Averbuj, C.G., Mariani, M.C. & Rial, D.
(2005)
. A Black-Scholes option pricing model with transaction costs. Journal of Mathematical Analysis and Applications, 303(2), 688-695.
http://dx.doi.org/10.1016/j.jmaa.2004.08.067---------- CHICAGO ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Rial, D.
"A Black-Scholes option pricing model with transaction costs"
. Journal of Mathematical Analysis and Applications 303, no. 2
(2005) : 688-695.
http://dx.doi.org/10.1016/j.jmaa.2004.08.067---------- MLA ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Rial, D.
"A Black-Scholes option pricing model with transaction costs"
. Journal of Mathematical Analysis and Applications, vol. 303, no. 2, 2005, pp. 688-695.
http://dx.doi.org/10.1016/j.jmaa.2004.08.067---------- VANCOUVER ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Rial, D. A Black-Scholes option pricing model with transaction costs. J. Math. Anal. Appl. 2005;303(2):688-695.
http://dx.doi.org/10.1016/j.jmaa.2004.08.067