General properties of solutions to inhomogeneous Black-Scholes equations with discontinuous maturity payoffs

DOI10.1016/j.jde.2015.08.036zbMath1341.35167arXiv1309.6505OpenAlexW1614679687MaRDI QIDQ898553

Jong-Jun Jo, Ji-Sok Kim, Hyong-chol O

Publication date: 18 December 2015

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.6505

zbMATH Keywords

monotonicityconvexitygradient estimatesdefaultable coupon bonddiscontinuous maturity payoffsinhomogeneous Black-Scholes equationmin-max estimatesrepresentation of solutionrepresentation of the gradient of solution

Mathematics Subject Classification ID

Integral representations of solutions to PDEs (35C15) A priori estimates in context of PDEs (35B45) Derivative securities (option pricing, hedging, etc.) (91G20) Initial value problems for second-order parabolic equations (35K15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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Cites Work

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