SIAMCO 2011 - PDF Preprint Papers

SIAMCO 2011

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SIAMCO
2011

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Nonlinear Black-Scholes Equations in Finance: Associated Control Problems and Properties of Solutions

1 years 9 days ago

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We study properties of solutions to fully nonlinear versions of the standard Black– Scholes partial diﬀerential equation. These equations have been introduced in ﬁnancial mat...

Rüdiger Frey, Ulrike Polte

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