Black-Scholes期权定价模型中非线性源项的影响研究

Q3 Mathematics Abstract and Applied Analysis Pub Date : 2022-11-28 DOI:10.1155/2022/6385401

P. Sozhaeswari, R. Sowrirajan, K. Loganathan, Sonam Gyeltshen

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引用次数: 0

摘要

本文通过求解Black-Scholes模型的解，研究了非线性源项的影响，并利用存在性和唯一性的数学概念得出结论。将非线性方程转化为热方程，通过不动点定理、半群理论和施加在变量上的某些正则性条件，得到了解的存在性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model

In this work, we study the effect of nonlinear source term in Black-Scholes model by finding the solution of it. We use the mathematical concepts of existence and uniqueness to arrive the conclusion. The transformation of the nonlinear equation into heat equation leads to the existence of solution through fixed-point theorems, semigroup theory, and certain regularity conditions imposed on variables.

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来源期刊

Abstract and Applied Analysis 数学-数学

CiteScore

2.30

自引率

0.00%

发文量

审稿时长

3.5 months

期刊介绍： Abstract and Applied Analysis is a mathematical journal devoted exclusively to the publication of high-quality research papers in the fields of abstract and applied analysis. Emphasis is placed on important developments in classical analysis, linear and nonlinear functional analysis, ordinary and partial differential equations, optimization theory, and control theory. Abstract and Applied Analysis supports the publication of original material involving the complete solution of significant problems in the above disciplines. Abstract and Applied Analysis also encourages the publication of timely and thorough survey articles on current trends in the theory and applications of analysis.