RT Journal Article
T1 On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs
A1 Figueroa Sestelo, Rubén
A1 Grossinho, Maria do Rosário
K1 Black-Scholes equation
K1 Functional conditions
K1 Discontinuous ODE’s
AB 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.
PB Springer
SN 1687-2770
YR 2015
FD 2015
LK http://hdl.handle.net/10347/21774
UL http://hdl.handle.net/10347/21774
LA eng
NO 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
NO 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.).
DS Minerva
RD 28 abr 2026