@article {STMAZ.06102869,
    author       = {Agliardi, R. and Popivanov, P. and Slavova, A.},
    title        = {On some boundary-value problems for second order PDEs arising in finance.},
    year         = {2011},
    journal      = {Doklady Bolgarskoi Akademiya Nauk},
    volume       = {64},
    number       = {10},
    issn         = {0861-1459},
    pages        = {1383-1392},
    publisher    = {B''lgarska Akademiya na Naukite, Sofia},
    abstract     = {This paper deals with Dirichlet type problem for some second order PDEs with non-negative characteristic form generalizing the well-known Black-Scholes equation. Green function is constructed for the boundary value problem under consideration and integral representation formula for the solution is found. Those results are applied to the pricing problems for a financial option of barrier type (two-asset barrier options with simultaneous barriers). At the end of the paper comparison principle for multi-asset Black-Scholes equations is proved.},
    reviewer     = {Ivan Landjev (Sofia)},
    msc2010      = {62D05 (91B28 35Q80)},
    identifier   = {06102869},
}