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

DOI10.1016/j.nonrwa.2010.10.003zbMath1215.35040OpenAlexW2029591095MaRDI QIDQ533028

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

zbMATH Keywords

viscosity solutions

Mathematics Subject Classification ID

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

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Option pricing with transaction costs and a nonlinear Black-Scholes equation
• Liquidity risk and arbitrage pricing theory
• Hypoelliptic second order differential equations
• Market Volatility and Feedback Effects from Dynamic Hedging
• EXPLICIT SOLUTIONS FOR A NONLINEAR MODEL OF FINANCIAL DERIVATIVES
• On Option-Valuation in Illiquid Markets: Invariant Solutions to a Nonlinear Model
• User’s guide to viscosity solutions of second order partial differential equations
• The Mathematics of Financial Derivatives
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