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A boundary point lemma for Black-Scholes type operators

Erik Ekström·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.

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Erik Ekström, Johan Tysk. 2005-09-10. A boundary point lemma for Black-Scholes type operators. https://arxiv.org/abs/math/0509231

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