A constructive method for convex solutions of a class of nonlinear Black-Scholes equations
A constructive method for convex solutions of a class of nonlinear Black-Scholes equations
Abstract In this work, we are concerned with the theoretical study of a nonlinear Black-Scholes equation resulting from market frictions. We will focus our attention on Barles and Soner’s model where the volatility is enlarged due to the presence of transaction costs. The aim of this paper is to give …