Add to ORKG*Corresponding author Abstract: We study a modification of the Black-Scholes equation allowing for uncertain volatility. The model leads to a partial differential equation with nonlinear dependence upon the highest derivative. Under certain assumptions, we show existence and uniqueness of a solution to the Cauchy problem
none3This paper studies some less known properties of the Black-Scholes equations and of its nonline...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
The Uncertain Volatility model is a non-linear generalisation of the Black-Scholes model in the sens...
International audienceAbstract In this work, we are concerned with the theoretical study of a nonlin...
Abstract. We study properties of solutions to fully nonlinear versions of the standard Black– Schole...
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result ...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result ...
Abstract. We study the Black-Scholes equation in stochastic volatility models. In particular, we sho...
Nonlinear Black-Scholes equations provide more accurate values by taking into account more realistic...
In the field of quantitative financial analysis, the Black-Scholes Model has exerted significant inf...
In this paper we analyse a stochastic volatility model that is an extension of the traditional Black...
Thesis (Ph.D.), Washington State UniversityOptions are a fundamental and important type of financial...
In recent years non-linear Black-Scholes models have been used to build transaction costs, market li...
none3This paper studies some less known properties of the Black-Scholes equations and of its nonline...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
The Uncertain Volatility model is a non-linear generalisation of the Black-Scholes model in the sens...
International audienceAbstract In this work, we are concerned with the theoretical study of a nonlin...
Abstract. We study properties of solutions to fully nonlinear versions of the standard Black– Schole...
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result ...
This paper revisits some solution methods for Black-Scholes equation and some of its nonlinear versi...
Copyright c © 2013 R. Agliardi et al. This is an open access article distributed under the Creative ...
We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result ...
Abstract. We study the Black-Scholes equation in stochastic volatility models. In particular, we sho...
Nonlinear Black-Scholes equations provide more accurate values by taking into account more realistic...
In the field of quantitative financial analysis, the Black-Scholes Model has exerted significant inf...
In this paper we analyse a stochastic volatility model that is an extension of the traditional Black...
Thesis (Ph.D.), Washington State UniversityOptions are a fundamental and important type of financial...
In recent years non-linear Black-Scholes models have been used to build transaction costs, market li...
none3This paper studies some less known properties of the Black-Scholes equations and of its nonline...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
The Uncertain Volatility model is a non-linear generalisation of the Black-Scholes model in the sens...