R. Valkov

MaRDI QIDQ1993544zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Modified barrier penalization method for pricing American options Novel Methods in Computational Finance	2019-02-28	Paper
Numerical Study of Splitting Methods for American Option Valuation Novel Methods in Computational Finance	2019-02-28	Paper
A two-grid penalty method for American options Computational and Applied Mathematics	2018-11-05	Paper
American option pricing problem transformed on finite interval International Journal of Computer Mathematics	2016-07-19	Paper
Fitted strong stability-preserving schemes for the Black-Scholes-Barenblatt equation International Journal of Computer Mathematics	2016-04-29	Paper
Predictor-corrector balance method for the worst-case 1D option pricing Computational Methods in Applied Mathematics	2016-01-12	Paper
Analysis of a finite volume element method for a degenerate parabolic equation in the zero-coupon bond pricing Computational and Applied Mathematics	2015-08-04	Paper
Positive numerical splitting method for the Hull and White 2D Black-Scholes equation Numerical Methods for Partial Differential Equations	2015-05-29	Paper
Convergence of a finite volume element method for a generalized Black-Scholes equation transformed on finite interval Numerical Algorithms	2015-02-03	Paper
Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval Numerical Algorithms	2014-01-24	Paper
A positivity-preserving splitting method for 2D Black-Scholes equations in stochastic volatility models Lecture Notes in Computer Science	2013-11-06	Paper
Positive Splitting Method for the Hull & White 2D Black-Scholes Equation (available as arXiv preprint)	2013-06-30	Paper
Petrov-Galerkin analysis for a degenerate parabolic equation in zero-coupon bond pricing Large-Scale Scientific Computing	2012-07-16	Paper
Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing Mathematical and Computer Modelling	2012-04-15	Paper
A computational scheme for a problem in the zero-coupon bond pricing AIP Conference Proceedings	2012-01-30	Paper
Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models Numerical Methods and Applications	2011-02-11	Paper
A Numerical Approach for the American Call Option Pricing Model Numerical Methods and Applications	2011-02-11	Paper

Research outcomes over time

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