Abstract:
We apply a probabilistic approach that allows to solve the Cauchy problem for nonlinear parabolic equations and systems developed in our previous papers to problems arising in financial mathematics while constructing arbitrage-free option prices on non-ideal markets. Bibl. – 11 titles.
Key words and phrases:stochastic equations, diffusion processes, nonlinear PDE and systems, contigent claim prices, transaction costs, illiquidity.
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