آمار
| تعداد نشریات | 31 |
| تعداد شمارهها | 741 |
| تعداد مقالات | 8,129 |
| تعداد مشاهده مقاله | 9,894,672 |
| تعداد دریافت فایل اصل مقاله | 9,370,946 |
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 (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 | ||
|
آمار تعداد مشاهده مقاله: 145 تعداد دریافت فایل اصل مقاله: 124 |
||
