39 citations · 68 across the 3 of their papers we have counts for
Showing math.APShow all
2 papers · 1 filter
math.AP2006
Convexity preserving jump-diffusion models for option pricing
Erik Ekström, Johan Tysk
We investigate which jump-diffusion models are convexity preserving. The study of convexity preserving models is motivated by monotonicity results for such models in the volatility…
math.AP2005
A boundary point lemma for Black-Scholes type operators
Erik Ekström, Johan Tysk
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 so…