1 citations · 3 across the 4 of their papers we have counts for
5 papers
Linear and Nonlinear Partial Integro-Differential Equations arising from Finance
Jose Cruz, Maria Grossinho, Daniel Sevcovic +1
The purpose of this review paper is to present our recent results on nonlinear and nonlocal mathematical models arising from modern financial mathematics. It is based on our four p…
Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations
Maria do Rosario Grossinho, Yaser Faghan Kord, Daniel Sevcovic
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative…
Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Maria do Rosario Grossinho, Yaser Faghan Kord, Daniel Sevcovic
In this paper we investigate a nonlinear generalization of the Black-Scholes equation for pricing American style call options in which the volatility term may depend on the underly…
Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Maria do Rosario Grossinho, Yaser Kord Faghan, Daniel Sevcovic
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a so…
On some non-linear boundary value problems related to a Black--Scholes model with transaction costs
Rubén Figueroa, Maria do Rosário Grossinho
We deal with some generalizations on a Black--Scholes model arising in financial mathematics. As novelty in this paper, we consider a variable volatility and abstract functional bo…