36 citations · 36 across the 4 of their papers we have counts for
4 papers
Numerical study of splitting methods for American option valuation
Karel in 't Hout, Radoslav Valkov
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset Ame…
Positive Splitting Method for the Hull & White 2D Black-Scholes Equation
T. Chernogorova, R. Valkov
In this paper we present a locally one-dimensional (LOD) splitting method to solve numerically the two-dimensional Black-Scholes equation, arising in the Hull & White model for pri…
Finite Volume Difference Scheme for a Degenerate Parabolic Equation in the Zero-Coupon Bond Pricing
T. Chernogorova, R. Valkov
In this paper we solve numerically a degenerate parabolic equation with dynamical boundary conditions of zero-coupon bond pricing. First, we discuss some properties of the differen…
Fitted Finite Volume Method for a Generalized Black-Scholes Equation Transformed on Finite Interval
Radoslav Valkov
A generalized Black-Scholes equation is considered on the semi-axis. It is transformed on the interval (0,1) in order to make the computational domain finite. The new parabolic ope…