Financial/Actuarial Mathematics Seminar

Academic Year 2005-2006: Thursdays 3:10-4:00, 3088 East Hall



Applying a comparison theorem for PDEs to the Black-Scholes equation

Virginia (Jenny) Young

Department of Mathematics, University of Michigan

January 19, 2006


Abstract

In this expository talk, I show how to apply a comparison theorem from Walter (1970, Differential and Integral Inequalities) to obtain some well-known properties of the solution of the Black-Scholes equation without actually solving the equation.
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