Non Linear Black-Scholes Option Pricing Models

Emmanuel Kengi
Dept. of Mathematics, NMSU

The study of Black-Scholes type model for option pricing with transaction costs leads to nonlinear parabolic equations. Under suitable conditions, we prove the existence and the uniqueness of such problems and investigate some regularity and stability results.

Non Linear Black-Scholes Option Pricing Models

Emmanuel Kengi Dept. of Mathematics, NMSU

Emmanuel Kengi
Dept. of Mathematics, NMSU