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A non-linear Black-Scholes equation

A non-linear Black-Scholes equation We study a modification of the Black-Scholes equation allowing for uncertain volatility. The model leads to a partial differential equation with non-linear dependence upon the highest derivative. Under certain assumptions, we show existence and uniqueness of a solution to the Cauchy problem. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Business Performance and Supply Chain Modelling Inderscience Publishers

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd. All rights reserved
ISSN
1758-9401
eISSN
1758-941X
DOI
10.1504/IJBPSCM.2009.026264
Publisher site
See Article on Publisher Site

Abstract

We study a modification of the Black-Scholes equation allowing for uncertain volatility. The model leads to a partial differential equation with non-linear dependence upon the highest derivative. Under certain assumptions, we show existence and uniqueness of a solution to the Cauchy problem.

Journal

International Journal of Business Performance and Supply Chain ModellingInderscience Publishers

Published: Jan 1, 2009

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