Ekström, Erik and Tysk, Johan (2006) A boundary point lemma for Black-Scholes type equations. Communications in Pure and Applied Analysis, 5 (3). pp. 505-514. ISSN 1386-923X
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Official URL: http://www.aimsciences.org/journals/displayPapers....
Abstract
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Hopf boundary point lemma, parabolic equations, degenerate equations, Black-Scholes equation |
| Subjects: | MSC 2010, the AMS's Mathematics Subject Classification > 35 Partial differential equations |
| Depositing User: | Dr Erik Ekström |
| Date Deposited: | 23 May 2006 |
| Last Modified: | 20 Oct 2017 14:12 |
| URI: | https://eprints.maths.manchester.ac.uk/id/eprint/294 |
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