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Analytic solution of a nonlinear Black-Scholes equation with price slippage
(2016)
We study a nonlinear Black-Scholes partial differential equation
whose nonlinearity is as a result of transaction cost and a price slippage impact
that lead to market illiquidity with feedback effects. After reducing the ...
Analytic solution of a nonlinear Black-Scholes equation
(2016)
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 ...
On Singular Cauchy Problem of Euler-Poisson- Darboux Equation
(2016)
We solve the singular Cauchy problem of Euler-Poisson-Darboux equation. The
Riemann function, a solution corresponding to the adjoint equation is calculated and it
enables us to evaluate any solution at a point by the ...
A particular solution of a nonlinear black-scholes partial differential equation
(2016)
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 ...
The black-Scholes formula and the Greek parameters for a nonlinear Black-Scholes equation
(2016)
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 ...
Greek parameters of nonlinear Black-Scholes equation
(2016)
Derivatives are used in hedging European options against risks. The partial derivatives
of the solution to either a variable or a parameter in the Black-Scholes model are called risk
(Greek) parameters or simply the ...
Analytic solution of a nonlinear Black-Scholes partial differential equation
(2016)
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 ...
A put option's value for a nonlinear black-scholes equation
(2016)
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 ...