A PUT OPTION'S VALUE FOR A NONLINEAR BLACK-SCHOLES EQUATION
نویسندگان
چکیده
منابع مشابه
Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function
We investigate qualitative and quantitative behavior of a solution to the problem of pricing American style of perpetual put options. We assume the option price is a solution to a stationary generalized Black-Scholes equation in which the volatility may depend on the second derivative of the option price itself. We prove existence and uniqueness of a solution to the free boundary problem. We de...
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ژورنال
عنوان ژورنال: International Journal of Pure and Apllied Mathematics
سال: 2015
ISSN: 1311-8080,1314-3395
DOI: 10.12732/ijpam.v105i3.2