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

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.
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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