Properties of utility function for Barles and Soner model
عنوان مقاله: Properties of utility function for Barles and Soner model
شناسه ملی مقاله: JR_CMDE-7-1_010
منتشر شده در در سال 1398
شناسه ملی مقاله: JR_CMDE-7-1_010
منتشر شده در در سال 1398
مشخصات نویسندگان مقاله:
- - - Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran
- - - Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran
خلاصه مقاله:
- - - Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran
- - - Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran
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.
کلمات کلیدی: Nonlinear Black-Scholes equation, Transaction costs, Utility function
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1598077/