A boundary point lemma for Black-Scholes type operators

Erik Ekstr\"om and Johan Tysk

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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.

Date: 2005-09
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Published in Comm. Pure Appl. Anal. 5 (2006), 505-514

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