Properties of utility function for Barles and Soner model

Author(s):

Mojtaba Ranjbar * , Somayeh Pourghanbar

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
Abstract:
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.
Keywords:

Nonlinear Black-Scholes equation , Transaction costs , Utility function

Language:
English
Published:
Computational Methods for Differential Equations, Volume:7 Issue: 1, Winter 2019
Pages:
117 to 123
https://www.magiran.com/p2103257