Solutions to a stationary nonlinear Black-Scholes type equation

[摘要] We study by topological methods a nonlinear differential equation generalizing the Black-Scholes formula for an option pricing model with stochastic volatility. We prove the existence of at least a solution of the stationary Dirichlet problem applying an upper and lower solutions method. Moreover, we construct a solution by an iterative procedure. (C) 2002 Elsevier Science (USA). All rights reserved.

[发布日期] 2002-12-01