Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs
Zovšeobecnenia klasického Black-Scholesovho modelu možno analyzovať pomocou transformácie plne nelineárnej parabolickej rovnice na kvázilineárnu parabolickú rovnicu pre druhú deriváciu ceny opcie. Existencia klasického hladkého riešenia a preukázanie užitočných hraníc cien opcií. Zostrojenie efektív...
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