– Scholes Parabolic Equations

@inproceedings{Tan2016SP,
  title={– Scholes Parabolic Equations},
  author={Shih-Hau Tan and Daniel Sevcovic},
  year={2016}
}
Market illiquidity, feedback e ects, presence of transaction costs, risk from unprotected portfolio Note 1: In the title, insert “a” or “the” before “Analytical”? and other nonlinear e ects in PDE-based option pricing models can be described by solutions to the generalized Black–Scholes parabolic equation with a di usion term nonlinearly depending on the option price itself. In this paper, di erent linearization techniques such as Newton’s method and the analytic asymptotic approximation… CONTINUE READING

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