On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs
| dc.contributor.affiliation | Universidade de Santiago de Compostela. Departamento de Estatística, Análise Matemática e Optimización | gl |
| dc.contributor.author | Figueroa Sestelo, Rubén | |
| dc.contributor.author | Grossinho, Maria do Rosário | |
| dc.date.accessioned | 2020-04-27T09:18:29Z | |
| dc.date.available | 2020-04-27T09:18:29Z | |
| dc.date.issued | 2015 | |
| dc.description.abstract | We deal with some generalizations on a Black-Scholes model arising in financial mathematics. As a 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 applications are provided too. | gl |
| dc.description.peerreviewed | SI | gl |
| dc.description.sponsorship | The first author was partially supported by Xunta de Galicia, Consellería de Cultura, Educación e Ordenación Universitaria, through the project EM2014/032 ‘Ecuacións diferenciais non lineares’; and by Ministerio de Economía y Competitividad of Spain under Grant MTM2010-15314, cofinanced by the European Community fund FEDER. The second author was partially funded by Fundação para a Ciência e Tecnologia through the project UID/Multi/00491/2013 and the Transnational Cooperation FCT Portugal-Slovakia ‘Analysis of Nonlinear Partial Differential Equations in Mathematical Finance (2013-2014)’ and by the EU Grant Program FP7-PEOPLE-2012-ITN STRIKE - ‘Novel Methods in Computational Finance’, No. 304617 (D.S.). | gl |
| dc.identifier.citation | Figueroa, R., Grossinho, M.d.R. On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs. Bound Value Probl 2015, 145 (2015). https://doi.org/10.1186/s13661-015-0410-9 | gl |
| dc.identifier.doi | 10.1186/s13661-015-0410-9 | |
| dc.identifier.issn | 1687-2770 | |
| dc.identifier.uri | http://hdl.handle.net/10347/21774 | |
| dc.language.iso | eng | gl |
| dc.publisher | Springer | gl |
| dc.relation.projectID | info:eu-repo/grantAgreement/MICINN/Plan Nacional de I+D+i 2008-2011/MTM2010-15314/ES/ECUACIONES DIFERENCIALES FUNCIONALES NO LINEALES | |
| dc.relation.publisherversion | https://doi.org/10.1186/s13661-015-0410-9 | gl |
| dc.rights | © 2015 Figueroa and Grossinho. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made | gl |
| dc.rights.accessRights | open access | gl |
| dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | |
| dc.subject | Black-Scholes equation | gl |
| dc.subject | Functional conditions | gl |
| dc.subject | Discontinuous ODE’s | gl |
| dc.title | On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs | gl |
| dc.type | journal article | gl |
| dc.type.hasVersion | VoR | gl |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | 9da1ecb4-9282-44de-b980-06419df2860f | |
| relation.isAuthorOfPublication.latestForDiscovery | 9da1ecb4-9282-44de-b980-06419df2860f |
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