17 citations · 94 across the 49 of their papers we have counts for
4 papers · 1 filter
On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints
Naoyuki Ishimura, Daniel Sevcovic
The aim of this paper is to construct and analyze solutions to a class of Hamilton-Jacobi-Bellman equations with range bounds on the optimal response variable. Using the Riccati tr…
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…
Application of the level-set model with constraints in image segmentation
Vladimír Klement, Tomáš Oberhuber, Daniel Ševčovič
We propose and analyze a constrained level-set method for semi-automatic image segmentation. Our level-set model with constraints on the level-set function enables us to specify wh…
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…