| dc.contributor.author | Esekon, Joseph | |
| dc.contributor.author | Onyango, Silas | |
| dc.contributor.author | Ongati, Naftali O. | |
| dc.date.accessioned | 2016-12-07T06:24:54Z | |
| dc.date.available | 2016-12-07T06:24:54Z | |
| dc.date.issued | 5/10/2010 | |
| dc.identifier.uri | http://www.ijpam.eu/contents/2010-61-2/10/10.pdf | |
| dc.identifier.uri | http://62.24.102.115:8080/xmlui/handle/123456789/234 | |
| dc.description.abstract | We study a nonlinear Black-Scholes partial differential equation whose nonlinearity is as a result of a feedback effect. This is an illiquid market effect arising from transaction costs. An analytic solution to the nonlinear Black-Scholes equation via a solitary wave solution is currently unknown. After transforming the equation into a parabolic nonlinear porous medium equation, we find that the assumption of a traveling wave profile to the later equation reduces it to ordinary differential equations. This together with the use of localizing boundary conditions facilitate a twice continuously differentiable nontrivial analytic solution by integrating directly. | en_US |
| dc.language.iso | en | en_US |
| dc.publisher | Academic Publications | en_US |
| dc.subject | nonlinear black-scholes equation | en_US |
| dc.subject | option hedging | en_US |
| dc.subject | volatility | en_US |
| dc.subject | illiquid markets | en_US |
| dc.subject | transaction cost | en_US |
| dc.subject | analytic solution | en_US |
| dc.title | Analytic solution of a nonlinear black-scholes partial differential equation | en_US |
| dc.type | Article | en_US |
