Nonhypoellipticity and comparison principle for partial differential equations of Black-Scholes type

DOI10.1016/J.NONRWA.2010.10.003zbMATH Open1215.35040OpenAlexW2029591095MaRDI QIDQ533028FDOQ533028

Authors: Yong-Cai Geng, Sumit K. Garg 

Publication date: 2 May 2011

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2010.10.003

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zbMATH Keywords

viscosity solutions

Mathematics Subject Classification ID

Quasilinear parabolic equations (35K59) Comparison principles in context of PDEs (35B51) Hypoelliptic equations (35H10) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80)

Cites Work

• The pricing of options and corporate liabilities
• Hypoelliptic second order differential equations
• User’s guide to viscosity solutions of second order partial differential equations
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• Liquidity risk and arbitrage pricing theory
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• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• The Mathematics of Financial Derivatives
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• Market volatility and feedback effects from dynamic hedging
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• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
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• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model

Cited In (5)

• A splitting numerical scheme for non-linear models of mathematical finance
• Nonlinear Black-Scholes equations in finance: associated control problems and properties of solutions
• AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
• A second-order positivity preserving numerical method for gamma equation
• A nonlinear PDE in mathematical finance

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