The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation

dc.contributor.author	Esekon, Joseph E
dc.date.accessioned	2016-09-28T16:27:21Z
dc.date.available	2016-09-28T16:27:21Z
dc.date.issued	2016
dc.identifier.uri	http://hdl.handle.net/123456789/107
dc.identifier.uri	https://www.researchgate.net/publication/268165756_The_black-Scholes_formula_and_the_Greek_parameters_for_a_nonlinear_Black-Scholes_equation
dc.description.abstract	We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the nonlinear Black-Scholes equation ut + 1 2 2s2uss(1 + 2 suss) = 0 by differentiating the formula with respect to either a variable or a parameter in the equation. The Black-Scholes formula and all the Greek parameters are of the form 1 f(s, t) and therefore they blow at = 0.	en_US
dc.title	The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation	en_US