Solutions to a stationary nonlinear Black-Scholes type equation |
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Authors: | P. Amster C.G. Averbuj M.C. Mariani |
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Affiliation: | Dpto. de Matemática, Fac. de Cs. Exactas y Naturales, UBA Pab. I, Ciudad Universitaria (1428), Capital, Argentina |
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Abstract: | 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. |
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