A boundary point lemma for Black-Scholes type operators

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September 2006, 5(3): 505-514. doi: 10.3934/cpaa.2006.5.505

A boundary point lemma for Black-Scholes type operators

1.	School of Mathematics, The University of Manchester, Sackville Street, Manchester M60 1QD, United Kingdom
2.	Department of Mathematics, Uppsala University, P.O. Box 480, SE-75106 Uppsala, Sweden

Received May 2005 Revised January 2006 Published June 2006

Abstract
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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.

Keywords: degenerate equations, Black-Scholes equation., Hopf boundary point lemma, parabolic equations.

Mathematics Subject Classification: Primary: 35K65, 35B50; Secondary: 91B2.

Citation: Erik Ekström, Johan Tysk. A boundary point lemma for Black-Scholes type operators. Communications on Pure & Applied Analysis, 2006, 5 (3) : 505-514. doi: 10.3934/cpaa.2006.5.505

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