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Title
Properties of utility function for Barles and Soner model
Type of Research Article
Keywords
Nonlinear Black-Scholes equation; Transaction costs; Utility function
Abstract
The nonlinear Black-Scholes equation has been increasingly attracting interest over the last two decades, because it provides more accurate values by considering transaction costs as a viable assumption. In this paper we review the fully nonlinear Black-Scholes equation with an adjusted volatility which is a function of the second derivative of the price and then we prove two new theorems in this realistic model.
Researchers SOMAYEH POURGHANBAR (First Researcher)، Mojtaba Ranjbar (Second Researcher)