On properties of solutions to Black-Scholes-Barenblatt equations

DOI10.1186/S13662-019-2135-ZMaRDI QIDQ2415166zbMATH OpenOpenAlexWikidataFDO

Authors Xinpeng Li, Weicheng Xu, Yiqing Lin

Publication date 20 May 2019

Published in Advances in Difference Equations (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13662-019-2135-z

zbMATH Keywords

Black-Scholes-Barenblatt equationstrict comparison theoremstrict sub-additivity

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

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Cites work

• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Superreplication of European multiasset derivatives with bounded stochastic volatility
• The pricing of options and corporate liabilities
• User’s guide to viscosity solutions of second order partial differential equations
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(19)

• scientific article; zbMATH DE number 5026335 (Why is no real title available?)
• scientific article; zbMATH DE number 6847457 (Why is no real title available?)
• Far field boundary conditions for Black-Scholes equations
• On the Solution of the Black-Sholes Equation with Jump Process
• The sustainable Black-Scholes equations
• Extensions of Black-Scholes processes and Benford's law
• On the multidimensional Black-Scholes partial differential equation
• Solution of ill-posed problems on sets of functions convex along all lines parallel to coordinate axes
• Black-Scholes in a CEV random environment
• Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
• Stationary Solutions of Some Nonlinear Black–Scholes Type Equations Arising in Option Pricing
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
• Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type
• Solutions to a stationary nonlinear Black-Scholes type equation
• scientific article; zbMATH DE number 6260947 (Why is no real title available?)
• On the structure of proper Black-Scholes formulae
• scientific article; zbMATH DE number 5139154 (Why is no real title available?)

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