IJPAM: Volume 76, No. 2 (2012)
PARAMETERS FOR A NONLINEAR
Department of Mathematics and Applied Statistics
P.O. Box 333, Maseno, KENYA
Abstract. We study the Greek (risk) parameters of a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of transaction costs. These parameters are derived from the Black-Scholes formula of the nonlinear Black-Scholes equation by differentiating the formula with respect to either a variable or a parameter in the equation. The Black-Scholes formula and all the Greek parameters are of the form and therefore they blow at .
Received: June 4, 2011
AMS Subject Classification: 35K10, 35K55
Key Words and Phrases: nonlinear black-scholes equation, black-scholes formula, illiquid markets, Greek parameters, transaction cost model
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Source: International Journal of Pure and Applied Mathematics
ISSN printed version: 1311-8080
ISSN on-line version: 1314-3395