17 citations · 94 across the 49 of their papers we have counts for
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Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations
Maria do Rosario Grossinho, Yaser Faghan Kord, Daniel Sevcovic
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative…
Pricing American Call Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Maria do Rosario Grossinho, Yaser Faghan Kord, Daniel Sevcovic
In this paper we investigate a nonlinear generalization of the Black-Scholes equation for pricing American style call options in which the volatility term may depend on the underly…
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…
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
Daniel Sevcovic
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. W…
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Martin Lauko, Daniel Sevcovic
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary…