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Stationary solutions for two nonlinear Black--Scholes type equations. (English) Zbl 1063.91026
Summary: We study by topological methods two different problems arising in the Black--Scholes model for option pricing. More specifically, we consider a nonlinear differential equation which generalizes the Black--Scholes formula when the volatility is assumed to be stochastic. On the other hand, we study a model with transaction costs.
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91B28Finance etc. (MSC2000)
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References:
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