A fully nonlinear problem arising in financial modelling: Doc 403
We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of t...
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| Veröffentlicht in: | Boundary value problems 2013-06, Vol.2013, p.1 |
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| container_title | Boundary value problems |
| container_volume | 2013 |
| creator | Grossinho, Maria Do Rosário Morais, Eva |
| description | We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of transaction costs in the classical Black-Scholes model. Our result concerns stationary solutions which become interesting in finance when the time does not play a relevant role such as, for instance, in perpetual options.[PUBLICATION ABSTRACT] |
| doi_str_mv | 10.1186/1687-2770-2013-146 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 1687-2762 |
| ispartof | Boundary value problems, 2013-06, Vol.2013, p.1 |
| issn | 1687-2762 1687-2770 |
| language | eng |
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| source | DOAJ Directory of Open Access Journals; Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; Springer Nature OA Free Journals; SpringerLink Journals - AutoHoldings |
| subjects | Boundary value problems |
| title | A fully nonlinear problem arising in financial modelling: Doc 403 |
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