A put option's value for a nonlinear black-scholes equation

dc.contributor.author	Esekon, Joseph E
dc.date.accessioned	2016-09-28T16:37:52Z
dc.date.available	2016-09-28T16:37:52Z
dc.date.issued	2016
dc.identifier.uri	http://hdl.handle.net/123456789/110
dc.description.abstract	We study a nonlinear Black-Scholes partial differential equation for modelling illiquid markets with feedback effects. After reducing the equation into a second-order nonlinear partial differential equation, we find that the assumption of a traveling wave profile to the second-order equation reduces it further to ordinary differential equations. Solutions to all these transformed equations facilitate an analytic solution to the nonlinear Black-Scholes equation. Use of the put-call parity gave rise to the put option’s current value. These solutions can be used for pricing a European call and put options respectively at t ≥ 0 and when c 6= r.	en_US
dc.title	A put option's value for a nonlinear black-scholes equation	en_US