A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model-Reference-Cited by-同舟云学术

A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model

Published:2022-11-28 Issue: Volume:2022 Page:1-6
ISSN:1687-0409
Container-title:Abstract and Applied Analysis
language:en
Short-container-title:Abstract and Applied Analysis

Author:

Sozhaeswari P.¹,Sowrirajan R.¹,Loganathan K.²^ORCID,Gyeltshen Sonam³^ORCID

Affiliation:

1. Department of Mathematics, Dr.N.G.P. Arts and Science College, Coimbatore, 641035 Tamilnadu, India

2. Department of Mathematics and Statistics, Manipal University Jaipur, Jaipur, 303007 Rajasthan, India

3. Department of Humanities and Management, Jigme Namgyel Engineering College, Royal University of Bhutan, Bhutan

Abstract

In this work, we study the effect of nonlinear source term in Black-Scholes model by finding the solution of it. We use the mathematical concepts of existence and uniqueness to arrive the conclusion. The transformation of the nonlinear equation into heat equation leads to the existence of solution through fixed-point theorems, semigroup theory, and certain regularity conditions imposed on variables.

Publisher

Hindawi Limited

Subject

Applied Mathematics,Analysis

Link

http://downloads.hindawi.com/journals/aaa/2022/6385401.pdf

Reference24 articles.

1. Option pricing with transaction costs and a nonlinear Black-Scholes equation

2. European option pricing with transaction costs;M. Davis;SIAM Journal on Control and Optimization,1993

3. DüringB.Black-Scholes Type Equations: Mathematical Analysis, Parameter Identification and Numerical Solution, [M.S. thesis]2005Universität Mainz

4. Radial Basis Function in Nonlinear Black-Scholes Option Pricing Equation with Transaction Cost