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

This paper studies some less known properties of the Black–Scholes equation and of its nonlinear modifications arising in Finance. In particular, the nonhypoellipticity of the linear Black–Scholes equation is shown; a comparison principle is formulated for a class of nonlinear degenerate parabolic equations which incorporates the most relevant financial applications; finally, some comments on the properties of the viscosity solutions are given.