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q-fin.MF2022★ 1 cited
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…
q-fin.MF2016
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…