A boundary point lemma for Black-Scholes type operators

We prove a sharp version of the Hopf boundary point lemma for Black-Scholes type equations. We also investigate the existence and the regularity of the spatial derivative of the solutions at the spatial boundary.

MoreLess

Year of publication:	2005-09
Authors:	Erik Ekstr\"om ; Tysk, Johan
Institutions:	arXiv.org

More details

Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Comm. Pure Appl. Anal. 5 (2006), 505-514
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005083927