A particular solution of a nonlinear black-scholes partial differential equation

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dc.contributor.author Esekon, Joseph E
dc.date.accessioned 2016-09-28T16:49:34Z
dc.date.available 2016-09-28T16:49:34Z
dc.date.issued 2016
dc.identifier.uri http://hdl.handle.net/123456789/116
dc.identifier.uri https://mafiadoc.com/a-particular-solution-of-a-nonlinear-black-scholes-_59c6b7851723ddb0719cc137.html
dc.description.abstract We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs that lead to market illiq- uidity. After reducing the equation into a nonlinear parabolic porous medium type equation, we find that the assumption of a traveling wave profile to the porous medium type equation reduces it further to ordinary differential equa- tions. Solutions to all these transformed equations together with the use of localizing boundary conditions facilitate a twice continuously differentiable so- lution to the nonlinear Black-scholes equation. We also find that the option is always more volatile compared to the stock. en_US
dc.title A particular solution of a nonlinear black-scholes partial differential equation en_US


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