Speaker:
Dr. Ryan Hynd
Institution:
Courant Institute
Time:
Tuesday, May 3, 2011 - 3:00pm
Location:
RH 306
We study the asymptotic analysis of solutions of a sequence of PDE with gradient constraint arising in an option pricing model with transaction costs. The limit of these solutions satisfies a nonlinear Black Scholes type equation. An interesting feature of this
work is that the nonlinearity in the Black Scholes type equation comes about as a solution of a nonstandard eigenvalue PDE problem.