17 citations · 94 across the 49 of their papers we have counts for
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q-fin.MF2016
Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
Maria do Rosario Grossinho, Yaser Kord Faghan, Daniel Sevcovic
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a so…
q-fin.MF2016★ 2 cited
Numerical and analytical methods for bond pricing in short rate convergence models of interest rates
Zuzana Buckova, Beata Stehlikova, Daniel Sevcovic
In this survey paper we discuss recent advances on short interest rate models which can be formulated in terms of a stochastic differential equation for the instantaneous interest…