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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…
math.AP2005
Properties of option prices in models with jumps
Erik Ekström, Johan Tysk
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Con…