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. and Pourghanbar, S. (2019). Properties of utility function for Barles and Soner model. Computational Methods for Differential Equations, 7(1), 117-123.
MLA
Ranjbar, M. , and Pourghanbar, S. . "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.
CHICAGO
M. Ranjbar and S. Pourghanbar, "Properties of utility function for Barles and Soner model," Computational Methods for Differential Equations, 7 1 (2019): 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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