Browsing School of Biological, Physical, Mathematics & Actuarial Sciences by Subject "volatility"
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Analytic solution of a nonlinear black-scholes partial differential equation
(Academic Publications, 5/10/2010)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 ...