dc.contributor.author |
Esekon, J. |
|
dc.date.accessioned |
2023-03-29T08:44:54Z |
|
dc.date.available |
2023-03-29T08:44:54Z |
|
dc.date.issued |
2023-03 |
|
dc.identifier.uri |
http://repository.kyu.ac.ke/123456789/908 |
|
dc.description.abstract |
This study presents a nonlinear Black-Scholes equation whose nonlinearity is due to feedback effects. The market involved is illiquid as a result of transaction costs. An analytic solution to the equation via long and short gamma positions is currently unknown. After transforming the equation into a parabolic nonlinear porous medium-type equation, find that the assumption of a traveling wave profile to the later equation reduces it to Ordinary Differential Equations (ODEs). This together with the use of long and short gamma positions facilitate a twice continuously differentiable solution. Both positive and negative gamma exposure can lead to an out-of-the-money option. |
en_US |
dc.publisher |
6th Annual International Conference-2023, Kirinyaga University, Virtual |
en_US |
dc.subject |
Analytic Solution of a Nonlinear Black-Scholes Equation Via Long and Short Gamma Positions |
en_US |
dc.title |
Analytic Solution of a Nonlinear Black-Scholes Equation via Long and Short Gamma Positions |
en_US |
dc.type |
Article |
en_US |