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Properties of utility function for Barles and Soner model | ||
| Computational Methods for Differential Equations | ||
| مقاله 10، دوره 7، شماره 1، فروردین 2019، صفحه 117-123 اصل مقاله (301.83 K) | ||
| نوع مقاله: Research Paper | ||
| نویسندگان | ||
| Mojtaba Ranjbar* ؛ Somayeh Pourghanbar | ||
| 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 | ||
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