A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model
In this work, we study the effect of nonlinear source term in Black-Scholes model by finding the solution of it. We use the mathematical concepts of existence and uniqueness to arrive the conclusion. The transformation of the nonlinear equation into heat equation leads to the existence of solution t...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2022/6385401 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1850161801168158720 |
|---|---|
| author | P. Sozhaeswari R. Sowrirajan K. Loganathan Sonam Gyeltshen |
| author_facet | P. Sozhaeswari R. Sowrirajan K. Loganathan Sonam Gyeltshen |
| author_sort | P. Sozhaeswari |
| collection | DOAJ |
| description | In this work, we study the effect of nonlinear source term in Black-Scholes model by finding the solution of it. We use the mathematical concepts of existence and uniqueness to arrive the conclusion. The transformation of the nonlinear equation into heat equation leads to the existence of solution through fixed-point theorems, semigroup theory, and certain regularity conditions imposed on variables. |
| format | Article |
| id | doaj-art-fa0fdc779daa45dd9bd563d558dee64b |
| institution | OA Journals |
| issn | 1687-0409 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-fa0fdc779daa45dd9bd563d558dee64b2025-08-20T02:22:43ZengWileyAbstract and Applied Analysis1687-04092022-01-01202210.1155/2022/6385401A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing ModelP. Sozhaeswari0R. Sowrirajan1K. Loganathan2Sonam Gyeltshen3Department of MathematicsDepartment of MathematicsDepartment of Mathematics and StatisticsDepartment of Humanities and ManagementIn this work, we study the effect of nonlinear source term in Black-Scholes model by finding the solution of it. We use the mathematical concepts of existence and uniqueness to arrive the conclusion. The transformation of the nonlinear equation into heat equation leads to the existence of solution through fixed-point theorems, semigroup theory, and certain regularity conditions imposed on variables.http://dx.doi.org/10.1155/2022/6385401 |
| spellingShingle | P. Sozhaeswari R. Sowrirajan K. Loganathan Sonam Gyeltshen A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model Abstract and Applied Analysis |
| title | A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model |
| title_full | A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model |
| title_fullStr | A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model |
| title_full_unstemmed | A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model |
| title_short | A Study on the Impact of Nonlinear Source Term in Black-Scholes Option Pricing Model |
| title_sort | study on the impact of nonlinear source term in black scholes option pricing model |
| url | http://dx.doi.org/10.1155/2022/6385401 |
| work_keys_str_mv | AT psozhaeswari astudyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT rsowrirajan astudyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT kloganathan astudyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT sonamgyeltshen astudyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT psozhaeswari studyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT rsowrirajan studyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT kloganathan studyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel AT sonamgyeltshen studyontheimpactofnonlinearsourceterminblackscholesoptionpricingmodel |