Artículo
Amster, P.; Averbuj, C.; De Nápoli, P.; Mariani, M.C. "A parabolic problem arising in Financial Mathematics" (2010) Nonlinear Analysis: Real World Applications. 11(2):759-763
Consulte la política de Acceso Abierto del editor
Abstract:
We study a parabolic problem arising in Financial Mathematics. Under suitable conditions, we prove the existence and uniqueness of solutions in a general domain using the method of upper and lower solutions and a diagonal argument.
Registro:
| Documento: | Artículo |
| Título: | A parabolic problem arising in Financial Mathematics |
| Autor: | Amster, P.; Averbuj, C.; De Nápoli, P.; Mariani, M.C. |
| Filiación: | FCEyN - Departamento, Matemática - Universidad de Buenos Aires, Argentina Department of Mathematical Sciences, New Mexico State University Las Cruces, NM 88003-0001, United States |
| Palabras clave: | Financial Mathematics; Parabolic problems; Existence and uniqueness of solution; Financial mathematics; Method of upper and lower solutions; Parabolic problems; Mathematical techniques; Finance |
| Año: | 2010 |
| Volumen: | 11 |
| Número: | 2 |
| Página de inicio: | 759 |
| Página de fin: | 763 |
| DOI: | http://dx.doi.org/10.1016/j.nonrwa.2009.01.019 |
| Título revista: | Nonlinear Analysis: Real World Applications |
| Título revista abreviado: | Nonlinear Anal. Real World Appl. |
| ISSN: | 14681218 |
| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_14681218_v11_n2_p759_Amster |
Referencias:
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- Heston, S.L., A closed-form solution for options with stochastic volatility with applications to bond and currency options (1993) Rev. Financial Studies, 6, p. 327
- Avellaneda, M., Zhu, Y., Risk neutral stochastic volatility model (1998) Int. J. Theor. Appl. Finance, 1 (2), pp. 289-310
- 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
- Berestycki, H., Busca, J., Florent, I., Computing the implied volatility in stochastic volatility models (2004) Commun. Pure Appl. Math.
- Krylov, N.V., (1996) Graduate Studies in Math., 12. , AMS
- Lieberman, G.M., (1996) Second Order Parabolic Differential Equations, , World Sc. Publ
Citas:
---------- APA ----------
Amster, P., Averbuj, C., De Nápoli, P. & Mariani, M.C. (2010) . A parabolic problem arising in Financial Mathematics. Nonlinear Analysis: Real World Applications, 11(2), 759-763.http://dx.doi.org/10.1016/j.nonrwa.2009.01.019
---------- CHICAGO ----------
Amster, P., Averbuj, C., De Nápoli, P., Mariani, M.C. "A parabolic problem arising in Financial Mathematics" . Nonlinear Analysis: Real World Applications 11, no. 2 (2010) : 759-763.http://dx.doi.org/10.1016/j.nonrwa.2009.01.019
---------- MLA ----------
Amster, P., Averbuj, C., De Nápoli, P., Mariani, M.C. "A parabolic problem arising in Financial Mathematics" . Nonlinear Analysis: Real World Applications, vol. 11, no. 2, 2010, pp. 759-763.http://dx.doi.org/10.1016/j.nonrwa.2009.01.019
---------- VANCOUVER ----------
Amster, P., Averbuj, C., De Nápoli, P., Mariani, M.C. A parabolic problem arising in Financial Mathematics. Nonlinear Anal. Real World Appl. 2010;11(2):759-763.http://dx.doi.org/10.1016/j.nonrwa.2009.01.019
