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arXiv · 1812.05783

Local Well-Posedness for Generalized Semilinear Black-Scholes Equations

Daniel Oliveira da Silva·Kamilla Igibayeva·Adelina Khoroshevskaya·Zhanna Sakayeva
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Abstract

We consider some parabolic equations which are model problems for a variety of nonlinear generalizations to the Black-Scholes equation of mathematical finance. In particular, we prove local well-posedness for the Cauchy problem with initial data in $L^{p}$ spaces.

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Daniel Oliveira da Silva, Kamilla Igibayeva, Adelina Khoroshevskaya, Zhanna Sakayeva. 2018-12-14. Local Well-Posedness for Generalized Semilinear Black-Scholes Equations. https://arxiv.org/abs/1812.05783

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