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math.AP2020★ 1 cited
Viscosity solution of a Delta Greek nonlinear Black-Scholes equation
Rui M. P. Almeida, Teófilo D. Chihaluca, José C. M. Duque
In this paper, a class of nonlinear option pricing models involving transaction costs is considered. The diffusion coefficient of the nonlinear parabolic equation for the price …
math.AP2014
On a nonlocal degenerate parabolic problem
Rui M. P. Almeida, Stanislav N. Antontsev, José C. M. Duque
Conditions for the existence and uniqueness of weak solutions for a class of nonlinear nonlocal degenerate parabolic equations are established. The asymptotic behaviour of the solu…