12 citations · 12 across the 3 of their papers we have counts for
4 papers
About subordinated generalizations of 3 classical models of option pricing
Michał Balcerek, Grzegorz Krzyżanowski, Marcin Magdziarz
In this paper, we investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models, in contrast to their cl…
Performance analysis of Zero Black-Derman-Toy interest rate model in catastrophic events: COVID-19 case study
Grzegorz Krzyżanowski, Andrés Sosa
In this paper we continue the research of our recent interest rate tree model called Zero Black-Derman-Toy (ZBDT) model, which includes the possibility of a jump at each step to a…
A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
Grzegorz Krzyżanowski, Marcin Magdziarz
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fr…
Zero Black-Derman-Toy interest rate model
Grzegorz Krzyżanowski, Ernesto Mordecki, Andrés Sosa
We propose a modification of the classical Black-Derman-Toy (BDT) interest rate tree model, which includes the possibility of a jump with small probability at each step to a practi…