Nonlinear-differential evolution equation arising in option pricing when including transaction costs : a viscosity solution approach
Corina G. Averbuj
| Year of publication: |
janeiro/junho 2012
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|---|---|
| Authors: | Averbuj, Corina G. |
| Published in: |
Revista brasileira de economia de empresas : publicação semestral do Programa de Pós-Graduação Stricto Sensu em Economia da Universidade Católica de Brasília. - Brasília, ISSN 1676-8000, ZDB-ID 2631058-2. - Vol. 12.2012, 1, p. 81-90
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| Subject: | Poisson-diffusion process | transaction costs | nonlinear partial differential equations | viscosity solution | Transaktionskosten | Transaction costs | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis |