17 citations · 17 across the 3 of their papers we have counts for
4 papers
Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
J. D. Kandilarov, D. Sevcovic
We present a numerical approach for solving the free boundary problem for the Black-Scholes equation for pricing American style of floating strike Asian options. A fixed domain tra…
Sensitivity analysis of the early exercise boundary for American style of Asian options
Daniel Sevcovic, Martin Takac
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlyin…
Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management
Zuzana Macova, Daniel Sevcovic
The main purpose of this paper is to analyze solutions to a fully nonlinear parabolic equation arising from the problem of optimal portfolio construction. We show how the problem o…
Nonlinear stability of stationary solutions for curvature flow with triple junction
Harald Garcke, Yoshihito Kohsaka, Daniel Sevcovic
In this paper we analyze the motion of a network of three planar curves with a speed proportional to the curvature of the arcs, having perpendicular intersections with the outer bo…