Analytic solution of a nonlinear Black-Scholes partial differential equation

dc.contributor.author	Esekon, Joseph E
dc.date.accessioned	2016-09-28T16:51:19Z
dc.date.available	2016-09-28T16:51:19Z
dc.date.issued	2016
dc.identifier.uri	http://hdl.handle.net/123456789/117
dc.identifier.uri	https://www.researchgate.net/publication/266706320_Analytic_solution_of_a_nonlinear_Black-Scholes_partial_differential_equation
dc.description.abstract	We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of a feedback effect. This is an illiquid mar- ket effect arising from transaction costs. An analytic solution to the nonlinear Black-Scholes equation via a solitary wave solution is currently unknown. After transforming the equation into a parabolic nonlinear porous medium equation, we find that the assumption of a traveling wave profile to the later equation re- duces it to ordinary differential equations. This together with the use of localiz- ing boundary conditions facilitate a twice continuously differentiable nontrivial analytic solution by integrating directly.	en_US
dc.title	Analytic solution of a nonlinear Black-Scholes partial differential equation	en_US