17 citations · 94 across the 49 of their papers we have counts for
6 papers · 1 filter
Finite Element Solution of the Two-Dimensional Bates Model for Option Pricing Under Stochastic Volatility and Jumps
Neda Bagheri Renani, Daniel Sevcovic
We propose a fourth--order compact finite--difference (HOC--FD) scheme for the transformed Bates partial integro--differential equation (PIDE). The method employs an implicit--expl…
Nonlinear Parabolic Equations arising in Mathematical Finance
Daniel Sevcovic
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main pu…
Analysis of the nonlinear option pricing model under variable transaction costs
Daniel Sevcovic, Magdalena Zitnanska
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the…
Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations
Karol Duris, Shih-Hau Tan, Choi-Hong Lai +1
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described…
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
Tomas Bokes, Daniel Sevcovic
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jorgensen 2000) by including a continuous dividend rate and a gene…
Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis
Beata Stehlikova, Daniel Sevcovic
We analyze analytic approximation formulae for pricing zero-coupon bonds in the case when the short-term interest rate is driven by a one-factor mean-reverting process with a volat…