Search Results - "Maria do Rosário Grossinho"

On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs by Figueroa, Rubén, Grossinho, Maria do Rosário

“…We deal with some generalizations on a Black-Scholes model arising in financial mathematics. As a novelty in this paper, we consider a variable volatility and…”
Get full text

On the solvability of some discontinuous third order nonlinear differential equations with two point boundary conditions by Cabada, Alberto, Grossinho, Maria do Rosário, Minhós, Feliz

“…We prove the existence of extremal solutions for the third order discontinuous functional nonlinear problem − φ u″(t) ′=f t,u,u′(t),u″(t) for a.e. t∈[a,b],…”
Get full text

Option pricing in exponential Lévy models with transaction costs by Cantarutti, Nicola, Guerra, Manuel, Guerra, João, do Rosário Grossinho, Maria

Get full text

Discretisation of abstract linear evolution equations of parabolic type by Gonçalves, Fernando F, Grossinho, Maria do Rosário, Morais, Eva

“…We investigate the discretisation of the linear parabolic equation du / dt = A ( t ) u + f ( t ) in abstract spaces, making use of both the implicit and the…”
Get full text

Pricing American call options using the Black–Scholes equation with a nonlinear volatility function by do Rosario Grossinho, Maria, Fagan Kord, Yaser, Sevcovic, Daniel

Get full text

Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function by Grossinho, Maria do Rosário, Kord Faghan, Yaser, Ševčovič, Daniel

“…We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the…”
Get full text

On the solvability of a boundary value problem for a fourth-order ordinary differential equation by do Rosário Grossinho, Maria, Sanchez, Luis, Tersian, Stepan A.

“…We study the existence and multiplicity of nontrivial periodic solutions for a semilinear fourth-order ordinary differential equation arising in the study of…”
Get full text

Editorial by Ehrhardt, Matthias, Grossinho, Maria do Rosário, Lai, Choi-Hong, Oosterlee, Kees, Sevcovic, Daniel, Vázquez, Carlos

Get full text

Editorial by Ehrhardt, Matthias, Maria do Rosário Grossinho, Choi-Hong, Lai, Oosterlee, Kees, Sevcovic, Daniel, Vázquez, Carlos

Get full text

A fully nonlinear problem arising in financial modelling by Grossinho, Maria do Rosário, Morais, Eva

“…We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to…”
Get full text

Preface by Ehrhardt, Matthias, Grossinho, Maria do Rosário, Ševčovič, Daniel, Shiryaev, Albert

Get full text

Preface by Ehrhardt, Matthias, Grossinho, Maria do Rosário, Ševčovič, Daniel, Shiryaev, Albert

Get full text

Preface by Ehrhardt, Matthias, Rosário Grossinho, Maria do, Guerra, Manuel, Janela, João, Lai, Choi-Hong, Sevcovic, Daniel, Vázquez, Carlos

Get full text

Preface by Ehrhardt, Matthias, Rosário Grossinho, Maria do, Guerra, Manuel, Janela, João, Lai, Choi-Hong, Sevcovic, Daniel, Vázquez, Carlos

Get full text

Preface by Ehrhardt, Matthias, Rosário Grossinho, Maria do, Guerra, Manuel, Janela, João, Lai, Choi-Hong, Sevcovic, Daniel, Vázquez, Carlos

Get full text

Preface by Ehrhardt, Matthias, Grossinho, Maria do Rosário, S;evcovic, Daniel, Shiryaev, Albert

Get full text

Existence of stable periodic solutions of a semilinear parabolic problem under Hammerstein-type conditions by Grossinho, Maria do Rosário, Omari, Pierpaolo

“…We prove the solvability of the parabolic problem $$\partial_t u-\sum_{i,j=1}^N \partial_{x_i}(a_{i,j}(x,t)\partial_{x_j}u)+\sum_{i=1}^N…”
Get full text

A fully nonlinear problem arising in financial modelling: Doc 403 by Grossinho, Maria Do; Rosário, Morais, Eva

“…We state existence and localisation results for a fully nonlinear boundary value problem using the upper and lower solutions method. With this study we aim to…”
Get full text

A note on a class of problems for a higher-order fully nonlinear equation under one-sided Nagumo-type condition by Grossinho, M.R., Minhós, F., Santos, A.I.

“…The purpose of this work is to establish existence and location results for the higher-order fully nonlinear differential equation u ( n ) ( t ) = f ( t , u (…”
Get full text

Positive solutions of a Dirichlet problem for a stationary nonlinear Black–Scholes equation by Fabião, F., Grossinho, M.R., Simões, O.A.

“…In this paper, we study the existence of stationary solutions of a nonlinear Black–Scholes type equation that concerns an option pricing model with stochastic…”
Get full text