39 citations · 73 across the 8 of their papers we have counts for
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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★ 2 cited
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…