ON SOME BOUNDARY-VALUE PROBLEMS FOR SECOND ORDER PDEs ARISING IN FINANCE

被引：0
|
作者：
Agliardi, Rossella [1 ]
Popivanov, Petar [2 ]
Slavova, Angela [2 ]
机构：
[1] Univ Bologna, Dept Math Econ & Social Sci, I-40126 Bologna, Italy
[2] Bulgarian Acad Sci, Inst Math & Informat, BU-1113 Sofia, Bulgaria
来源：
COMPTES RENDUS DE L ACADEMIE BULGARE DES SCIENCES | 2011年 / 64卷 / 10期
关键词：
Black-Scholes equation; barrier options; comparison principle;
D O I：
暂无
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This paper studies the Dirichlet problem for some second order PDEs with non-negative characteristic form. The classical solution method is presented in a general framework. The results are applied to the pricing problems for a financial option of barrier type.
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页码：1383 / 1392
页数：10
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