A non-linear Black-Scholes equation
by Yan Qiu, Jens Lorenz
International Journal of Business Performance and Supply Chain Modelling (IJBPSCM), Vol. 1, No. 1, 2009

Abstract: We study a modification of the Black-Scholes equation allowing for uncertain volatility. The model leads to a partial differential equation with non-linear dependence upon the highest derivative. Under certain assumptions, we show existence and uniqueness of a solution to the Cauchy problem.

Online publication date: Sun, 31-May-2009

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