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Analytic Solution of a Nonlinear Black-Scholes Partial Differential Equation
(Maseno University, 2011)
The assumptions under which the standard Black-Scholes equation
has been derived are restrictive (e.g. liquid and frictionless markets).
When illiquidity and market friction are introduced into the
market, financial ...
The Derivation of a Logistic Nonlinear Black Scholes Merton Partial Differential Equation: European Option
(Maseno University, 2011)
\onlinear Black-Scholes equations have been increasingly attracting
interest over the last twenty years. This is because they provide more
accurate values by taking into account more realistic assumptions, such
as ...