A boundary point lemma for Black-Scholes type operators

Details A boundary point lemma for Black-Scholes type operators A boundary point lemma for Black-Scholes type operators

2005-09-10

arxiv.org/abs/math/0509231v1

Comm. Pure Appl. Anal. 5 (2006), 505-514

Mathematics

Analysis of PDEs

10 pages

Scientific paper

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.

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