A fully nonlinear problem arising in financial modelling

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 contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of t...

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Bibliographic Details
Published in:	Boundary value problems Vol. 2013; no. 1; p. 146
Main Authors:	Grossinho, Maria do Rosário, Morais, Eva
Format:	Journal Article
Language:	English
Published:	Cham Springer International Publishing 13-06-2013 BioMed Central Ltd
Subjects:	Analysis Approximations and Expansions Difference and Functional Equations Jean Mawhin's Achievements in Nonlinear Analysis Mathematics Mathematics and Statistics Ordinary Differential Equations Partial Differential Equations Transaction Cost Underlying Asset Auxiliary Problem Solution Versus Option Price
Online Access:	Get full text
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Summary:	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 contribute to a better understanding of some analytical features of a problem arising in financial modelling related to the introduction of transaction costs in the classical Black-Scholes model. Our result concerns stationary solutions which become interesting in finance when the time does not play a relevant role such as, for instance, in perpetual options.
ISSN:	1687-2770 1687-2770
DOI:	10.1186/1687-2770-2013-146