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Daniel Ševčovič · Study

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Daniel Ševčovič

8 works· latest 2018· 1 institutionscluster: provisionalORCID 0000-0002-1488-7736

h-index8

i108

Citations308

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Most cited in this library

On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile2005 · 83 citations
Analysis of the free boundary for the pricing of an American call option2001 · 47 citations
Analytical and Numerical Methods for Pricing Financial Derivatives2011 · 46 citations
Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs2016 · 38 citations
An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation2007 · 27 citations

Works

8 shown

Total value adjustment for European options with two stochastic factors. Mathematical model, analysis and numerical simulation

Computers & Mathematics with Applications·2018·4 authors·Open access

24citations

Analysis of the Nonlinear Option Pricing Model Under Variable Transaction Costs

Asia-Pacific Financial Markets·2016·2 authors

38citations

Analytical and Numerical Methods for Pricing Financial Derivatives

·2011·1 author·book

46citations

COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS

The ANZIAM Journal·2010·1 author·Open access

24citations

Transformation Methods for Evaluating Approximations to the Optimal Exercise Boundary for Linear and Nonlinear Black-Scholes Equations

SSRN Electronic Journal·2008·1 author·preprint·Open access

19citations

An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

RePEc: Research Papers in Economics·2007·1 author·preprint·Open access

27citations

On the risk‐adjusted pricing‐methodology‐based valuationof vanilla options and explanation of the volatility smile

Journal of Applied Mathematics·2005·2 authors·Open access

83citations

Analysis of the free boundary for the pricing of an American call option

European Journal of Applied Mathematics·2001·1 author

47citations