On properties of solutions to Black-Scholes-Barenblatt equations

DOI10.1186/S13662-019-2135-ZzbMATH Open1459.35359OpenAlexW2947401312WikidataQ127847926 ScholiaQ127847926MaRDI QIDQ2415166FDOQ2415166

Xinpeng Li, Yiqing Lin, Weicheng Xu

Publication date: 20 May 2019

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

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

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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)

Cites Work

• The pricing of options and corporate liabilities
• Title not available (Why is that?)
• User’s guide to viscosity solutions of second order partial differential equations
• Pricing and hedging derivative securities in markets with uncertain volatilities
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Superreplication of European multiasset derivatives with bounded stochastic volatility

Cited In (18)

• The sustainable Black-Scholes equations
• Black-Scholes in a CEV random environment
• THE BLACK SCHOLES BARENBLATT EQUATION FOR OPTIONS WITH UNCERTAIN VOLATILITY AND ITS APPLICATION TO STATIC HEDGING
• Shape-preserving properties and asymptotic behaviour of the semigroup generated by the Black-Scholes operator
• On the multidimensional Black-Scholes partial differential equation
• On the structure of proper Black-Scholes formulae
• Burgers and Black–Merton–Scholes equations with real time variable and complex spatial variable
• Solutions to a stationary nonlinear Black-Scholes type equation
• Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
• Title not available (Why is that?)
• Extensions of Black-Scholes processes and Benford's law
• Title not available (Why is that?)
• Title not available (Why is that?)
• Far field boundary conditions for Black-Scholes equations
• Solution of ill-posed problems on sets of functions convex along all lines parallel to coordinate axes
• On the Solution of the Black-Sholes Equation with Jump Process
• Title not available (Why is that?)
• Stationary Solutions of Some Nonlinear Black–Scholes Type Equations Arising in Option Pricing

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