Artículo
Amster, P.; Averbuj, C.G.; Mariani, M.C.; Castilo J.E.; Pereyra V. "Stationary solutions for two nonlinear Black-Scholes type equations" (2003) Applied and Computational Mathematics. 47(3-4):275-280
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Abstract:
We study by topological methods two different problems arising in the Black-Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black-Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a model with transaction costs. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.
Registro:
| Documento: | Artículo |
| Título: | Stationary solutions for two nonlinear Black-Scholes type equations |
| Autor: | Amster, P.; Averbuj, C.G.; Mariani, M.C.; Castilo J.E.; Pereyra V. |
| Ciudad: | Cordoba |
| Filiación: | Departamento de Matemática, Fac. de Ciencias Exactas y Naturales, Ciudad Universitaria, 1428 Capital, Argentina |
| Palabras clave: | Brownian movement; Differential equations; Mathematical models; Problem solving; Topology; Volatility; Nonlinear equations |
| Año: | 2003 |
| Volumen: | 47 |
| Número: | 3-4 |
| Página de inicio: | 275 |
| Página de fin: | 280 |
| DOI: | http://dx.doi.org/10.1016/S0168-9274(03)00070-9 |
| Título revista: | Applied and Computational Mathematics |
| Título revista abreviado: | Appl Numer Math |
| ISSN: | 01689274 |
| CODEN: | ANMAE |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01689274_v47_n3-4_p275_Amster |
Referencias:
- Avellaneda, M., Lawrence, P., (2000) Quantitative Modeling of Derivative Securities: From Theory to Practice, , Boca Raton, FL: Chapman & Hall/CRC
- Avellaneda, M., Zhu, Y., Risk neutral stochastic volatily model (1998) Internat. J. Theor. Appl. Finance, 1 (2), pp. 289-310
- Duffie, D., (1996) Dynamic Asset Pricing Theory, , Princeton, NJ: Princeton University Press
- Gilbarg, D., Trudinger, N.S., (1983) Elliptic Partial Differential Equations of Second Order, , Berlin: Springer
- Hull, J.C., (1997) Options, Futures, and Other Derivatives, , Englewood Cliffs, NJ: Prentice-Hall
- Ikeda, S., (1989) Watanabe, Stochastic Differential Equations and Diffusion Processes, , Amsterdam: North-Holland
- Jarrow, R.A., (1997) Modelling Fixed Income Securities and Interest Rate Options, , New York: McGraw-Hill
- Merton, R.C., (2000) Continuous-Time Finance, , Cambridge: Blackwell
- Wilmott, P., Dewynne, J., Howison, S., (2000) Option Pricing, , Oxford: Oxford Financial Press
Citas:
---------- APA ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Castilo J.E. & Pereyra V. (2003) . Stationary solutions for two nonlinear Black-Scholes type equations. Applied and Computational Mathematics, 47(3-4), 275-280.http://dx.doi.org/10.1016/S0168-9274(03)00070-9
---------- CHICAGO ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Castilo J.E., Pereyra V. "Stationary solutions for two nonlinear Black-Scholes type equations" . Applied and Computational Mathematics 47, no. 3-4 (2003) : 275-280.http://dx.doi.org/10.1016/S0168-9274(03)00070-9
---------- MLA ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Castilo J.E., Pereyra V. "Stationary solutions for two nonlinear Black-Scholes type equations" . Applied and Computational Mathematics, vol. 47, no. 3-4, 2003, pp. 275-280.http://dx.doi.org/10.1016/S0168-9274(03)00070-9
---------- VANCOUVER ----------
Amster, P., Averbuj, C.G., Mariani, M.C., Castilo J.E., Pereyra V. Stationary solutions for two nonlinear Black-Scholes type equations. Appl Numer Math. 2003;47(3-4):275-280.http://dx.doi.org/10.1016/S0168-9274(03)00070-9
