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arXiv · 1304.1690

On some non-linear boundary value problems related to a Black--Scholes model with transaction costs

Rubén Figueroa·Maria do Rosário Grossinho
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Abstract

We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional boundary conditions, which allow us to treat a very large class of problems involving Black--Scholes equation. Our main results involve the existence of extremal solutions in presence of lower and upper solutions. Some examples of application are provided too.

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Rubén Figueroa, Maria do Rosário Grossinho. 2013-04-05. On some non-linear boundary value problems related to a Black--Scholes model with transaction costs. https://arxiv.org/abs/1304.1690

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