EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
نویسندگان
چکیده
منابع مشابه
Explicit solutions for a nonlinear model of financial derivatives
Families of explicit solutions are found to a nonlinear Black-Scholes equation which incorporates the feedback-effect of a large trader in case of market illiquidity. The typical solution of these families will have a payoff which approximates a strangle. These solutions were used to test numerical schemes for solving a nonlinear Black-Scholes equation.
متن کاملinvestigating the feasibility of a proposed model for geometric design of deployable arch structures
deployable scissor type structures are composed of the so-called scissor-like elements (sles), which are connected to each other at an intermediate point through a pivotal connection and allow them to be folded into a compact bundle for storage or transport. several sles are connected to each other in order to form units with regular polygonal plan views. the sides and radii of the polygons are...
Explicit Solutions of Generalized Nonlinear Boussinesq Equations
By considering the Adomian decomposition scheme, we solve a generalized Boussinesq equation. The method does not need linearization or weak nonlinearly assumptions. By using this scheme, the solutions are calculated in the form of a convergent power series with easily computable components. The decomposition series analytic solution of the problem is quickly obtained by observing the existence ...
متن کاملNew explicit and Soliton Wave Solutions of Some Nonlinear Partial Differential Equations with Infinite Series Method
To start with, having employed transformation wave, some nonlinear partial differential equations have been converted into an ODE. Then, using the infinite series method for equations with similar linear part, the researchers have earned the exact soliton solutions of the selected equations. It is required to state that the infinite series method is a well-organized method for obtaining exact s...
متن کاملExact solutions for a nonlinear model
In this paper we show new exact solutions for a type of generalized sine-Gordon equation which is obtained by constructing a Lagrange function for a dynamical coupled system of oscillators. We convert it into a nonlinear system by perturbing the potential energy from a point of view of an approach proposed by Fermi [1].
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2007
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s021902490700407x