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A boundary point lemma for Black-Scholes type operators

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  • Erik Ekstrom
  • Johan Tysk

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.

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  • Erik Ekstrom & Johan Tysk, 2005. "A boundary point lemma for Black-Scholes type operators," Papers math/0509231, arXiv.org.
    • Handle: RePEc:arx:papers:math/0509231
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    1. Bergman, Yaacov Z & Grundy, Bruce D & Wiener, Zvi, 1996. "General Properties of Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1573-1610, December.
    2. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
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