Solvability of a stationary nonlinear Black‐Scholes equation under conditions on the potential
In this work, we study a nonlinear problem suggested by the Black-Scholes model for option pricing with stochastic volatility, [ vg. Equation p. 129 of this article] where the variables S and <J are respectively the asset value and the market volatility ([l], [2]). In [l], an analogous nonlinear...
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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2022
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| Assuntos: | |
| Texto completo: | http://hdl.handle.net/10400.5/24436 |
| País: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/24436 |