INVESTIGADORES
RIAL Diego Fernando
artículos
Título:
A Black-Scholes Option Pricing Model with Transaction Costs.
Autor/es:
P. AMSTER, C. G. AVERBUJ, M. C. MARIANI, D. RIAL
Revista:
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
Referencias:
Año: 2005 vol. 303 p. 688 - 695
ISSN:
0022-247X
Resumen:
We consider a boundary value problem for a nonlinear differential equation which arises in an option pricing model with transaction costs. We apply the method of upper and lower solutions in order to obtain solutions for the stationary problem. Moreover, we give conditions for the existence of solutions of the general evolution equation
