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researcher

G. Krzyzanowski

4 papers hereh-index 221 citations5 works total

Matching runs newest-first, so older work may not be attached to this profile yet.

author position
  • first author4

Across the 4 of 4 papers where every author was matched, so the position is known.

fields
  • econ.EM1
  • math.NA1
  • q-fin.CP1
  • q-fin.PR1

identity via Semantic Scholar / OpenAlex

activity
20192021
most citedA computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model

12 citations · 12 across the 3 of their papers we have counts for

collaborators
Showing math.NAShow all

1 paper · 1 filter

math.NA2021

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…

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Not affiliated with arXiv. Researcher data from Semantic Scholar (ODC-BY) and OpenAlex.