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Properties of utility function for Barles and Soner model | ||
Computational Methods for Differential Equations | ||
مقاله 10، دوره 7، شماره 1، بهار 2019، صفحه 117-123 اصل مقاله (302 K) | ||
نوع مقاله: Research Paper | ||
نویسندگان | ||
Mojtaba Ranjbar ![]() | ||
Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran | ||
چکیده | ||
The nonlinear Black-Scholes equation has been increasingly attracting interest over the last two decades, because it provides more accurate values by considering transaction costs as a viable assumption. In this paper we review the fully nonlinear Black-Scholes equation with an adjusted volatility which is a function of the second derivative of the price and then we prove two new theorems in this realistic model. | ||
کلیدواژهها | ||
Nonlinear Black-Scholes equation؛ Transaction costs؛ Utility function | ||
آمار تعداد مشاهده مقاله: 72 تعداد دریافت فایل اصل مقاله: 67 |
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