• A SURVEY ON BLACK SCHOLES EQUATION
Abstract
This paper tries to summarize results on blow-up rate and blow-up set of the solutions of the Black Scholes equation by Nirenberg maximum principle. The emphasis is placed on the assumptions of the nonlinear functions when both stock volatility and risk-free interest rate influence the stock price but these are known with certainty. The finite difference approximation from the view of accuracy and computer storage leads to a wide field open problems.
Keywords
Black Scholes equation, Volatility, Nonlinear boundary conditions, Blow-up, Absorption, Maximum principle.
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