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dc.contributor.authorFigueroa Sestelo, Rubén
dc.contributor.authorGrossinho, Maria do Rosário
dc.date.accessioned2020-04-27T09:18:29Z
dc.date.available2020-04-27T09:18:29Z
dc.date.issued2015
dc.identifier.citationFigueroa, R., Grossinho, M.d.R. On some nonlinear boundary value problems related to a Black-Scholes model with transaction costs. Bound Value Probl 2015, 145 (2015). https://doi.org/10.1186/s13661-015-0410-9
dc.identifier.issn1687-2770
dc.identifier.urihttp://hdl.handle.net/10347/21774
dc.description.abstractWe 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 abstract functional boundary conditions, which allow us to treat a very large class of problems involving Black-Scholes equation. Our main results involve the existence of extremal solutions in presence of lower and upper solutions. Some examples of applications are provided too.
dc.description.sponsorshipThe first author was partially supported by Xunta de Galicia, Consellería de Cultura, Educación e Ordenación Universitaria, through the project EM2014/032 ‘Ecuacións diferenciais non lineares’; and by Ministerio de Economía y Competitividad of Spain under Grant MTM2010-15314, cofinanced by the European Community fund FEDER. The second author was partially funded by Fundação para a Ciência e Tecnologia through the project UID/Multi/00491/2013 and the Transnational Cooperation FCT Portugal-Slovakia ‘Analysis of Nonlinear Partial Differential Equations in Mathematical Finance (2013-2014)’ and by the EU Grant Program FP7-PEOPLE-2012-ITN STRIKE - ‘Novel Methods in Computational Finance’, No. 304617 (D.S.).
dc.language.isoeng
dc.publisherSpringer
dc.relationinfo:eu-repo/grantAgreement/MICINN/Plan Nacional de I+D+i 2008-2011/MTM2010-15314/ES/ECUACIONES DIFERENCIALES FUNCIONALES NO LINEALES
dc.rights© 2015 Figueroa and Grossinho. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectBlack-Scholes equation
dc.subjectFunctional conditions
dc.subjectDiscontinuous ODE’s
dc.titleOn some nonlinear boundary value problems related to a Black-Scholes model with transaction costs
dc.typeinfo:eu-repo/semantics/article
dc.identifier.DOI10.1186/s13661-015-0410-9
dc.relation.publisherversionhttps://doi.org/10.1186/s13661-015-0410-9
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.contributor.affiliationUniversidade de Santiago de Compostela. Departamento de Estatística, Análise Matemática e Optimización
dc.description.peerreviewedSI


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© 2015 Figueroa and Grossinho. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made
Except where otherwise noted, this item's license is described as  © 2015 Figueroa and Grossinho. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made





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