12 citations · 12 across the 3 of their papers we have counts for
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q-fin.PR2020
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…
q-fin.CP2020★ 12 cited
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…