17 citations · 94 across the 49 of their papers we have counts for
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q-fin.PR2009
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…
math.NA2009
Numerical aspects of evolution of plane curves satisfying the fourth order geometric equation
Karol Mikula, Daniel Sevcovic
In this review paper we present a stable Lagrangian numerical method for computing plane curves evolution driven by the fourth order geometric equation. The numerical scheme and co…
q-fin.PM2009★ 17 cited
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…