Department of Mathematics, Azarbaijan Shahid Madani University, Tabriz, Iran
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.
Ranjbar, M., & Pourghanbar, S. (2019). Properties of utility function for Barles and Soner model. Computational Methods for Differential Equations, 7(1), 117-123.
MLA
Mojtaba Ranjbar; Somayeh Pourghanbar. "Properties of utility function for Barles and Soner model". Computational Methods for Differential Equations, 7, 1, 2019, 117-123.
HARVARD
Ranjbar, M., Pourghanbar, S. (2019). 'Properties of utility function for Barles and Soner model', Computational Methods for Differential Equations, 7(1), pp. 117-123.
VANCOUVER
Ranjbar, M., Pourghanbar, S. Properties of utility function for Barles and Soner model. Computational Methods for Differential Equations, 2019; 7(1): 117-123.
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