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Solution to a nonlinear Black-Scholes equation
Electronic Journal of Differential Equations, 2011 Option pricing with transaction costs leads to a nonlinear Black-Scholes type equation where the nonlinear term reflects the presence of transaction costs. Under suitable conditions, we prove the existence of weak solutions in a bounded domain and we
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Sci RepKumar S, Wilmott CM.
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Int J Environ Res Public Health, 2023 Chen S, Yang J.
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Random Neural Networks for Rough Volatility. [PDF]
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Stochastic and Statistical Analysis of Cnoidal, Snoidal, Dnoidal, Hyperbolic, Trigonometric and Exponential Wave Solutions of a Coupled Volatility Option-Pricing System. [PDF]
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