Open AccessA boundary point lemma for Black-Scholes type operators
Author(s) -
Erik Ekström,
Johan Tysk
Publication year - 2006
Publication title -
communications on pure andamp applied analysis
Language(s) - English
Resource type - Journals
eISSN - 1553-5258
pISSN - 1534-0392
DOI - 10.3934/cpaa.2006.5.505
Subject(s) - lemma (botany) , mathematics , type (biology) , boundary (topology) , mathematical analysis , black–scholes model , boundary value problem , derivative (finance) , point (geometry) , pure mathematics , geometry , volatility (finance) , ecology , poaceae , financial economics , economics , econometrics , biology
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.
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom