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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

Erik Ekström 1, and  Johan Tysk 2,

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

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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