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Daniel Sevcovic

Personal Details

First Name:Daniel
Middle Name:
Last Name:Sevcovic
Suffix:
RePEc Short-ID:pse277
[This author has chosen not to make the email address public]
http://www.iam.fmph.uniba.sk/institute/sevcovic

Affiliation

Univerzita Komenského / Fakulta matematiky, fyziky a informatiky (Comenius University, Faculty of Mathematics, Physics and Informatics)

http://www.fmph.uniba.sk
Slovakia, Bratislava

Research output

as
Jump to: Working papers Articles

Working papers

  1. Martin Lauko & Daniel Sevcovic, 2010. "Comparison of numerical and analytical approximations of the early exercise boundary of the American put option," Papers 1002.0979, arXiv.org, revised Aug 2010.
  2. Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.
  3. Zuzana Macova & Daniel Sevcovic, 2009. "Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management," Papers 0905.0155, arXiv.org, revised Nov 2009.
  4. Daniel Sevcovic, 2008. "Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations," Papers 0805.0611, arXiv.org.
  5. Beata Stehlikova & Daniel Sevcovic, 2008. "Approximate formulae for pricing zero-coupon bonds and their asymptotic analysis," Papers 0802.3039, arXiv.org, revised Jul 2008.
  6. B. Stehlikova & D. Sevcovic, 2008. "On the singular limit of solutions to the CIR interest rate model with stochastic volatility," Papers 0811.0591, arXiv.org.
  7. B. Stehlikova & D. Sevcovic, 2008. "On non-existence of a one factor interest rate model for volatility averaged generalized Fong-Vasicek term structures," Papers 0811.0473, arXiv.org.
  8. Daniel Sevcovic, 2007. "An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation," Papers 0710.5301, arXiv.org.

Articles

  1. Soòa KILIÁNOVÁ & Igor MELICHERÈÍK & Daniel ŠEVÈOVIÈ, 2006. "A Dynamic Accumulation Model for the Second Pillar of the Slovak Pension System," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 56(11-12), pages 506-521, November.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Martin Lauko & Daniel Sevcovic, 2010. "Comparison of numerical and analytical approximations of the early exercise boundary of the American put option," Papers 1002.0979, arXiv.org, revised Aug 2010.

    Cited by:

    1. Luca Vincenzo Ballestra, 2018. "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 399-426, November.
    2. Jose Cruz & Daniel Sevcovic, 2020. "On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models," Papers 2003.03851, arXiv.org.
    3. Anna Clevenhaus & Matthias Ehrhardt & Michael Günther & Daniel Ševčovič, 2020. "Pricing American Options with a Non-Constant Penalty Parameter," JRFM, MDPI, vol. 13(6), pages 1-7, June.
    4. Denis Veliu & Roberto De Marchis & Mario Marino & Antonio Luciano Martire, 2022. "An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options," Mathematics, MDPI, vol. 11(1), pages 1-12, December.
    5. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019, January-A.
    6. Sören Christensen, 2014. "A Method For Pricing American Options Using Semi-Infinite Linear Programming," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 156-172, January.
    7. Soren Christensen, 2011. "A method for pricing American options using semi-infinite linear programming," Papers 1103.4483, arXiv.org, revised Jun 2011.

  2. Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.

    Cited by:

    1. Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
    2. Tomas Bokes, 2010. "A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives," Papers 1012.0348, arXiv.org, revised Mar 2011.
    3. J. D. Kandilarov & D. Sevcovic, 2011. "Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option," Papers 1106.0020, arXiv.org.

  3. Zuzana Macova & Daniel Sevcovic, 2009. "Weakly nonlinear analysis of the Hamilton-Jacobi-Bellman equation arising from pension savings management," Papers 0905.0155, arXiv.org, revised Nov 2009.

    Cited by:

    1. Naoyuki Ishimura & Daniel Sevcovic, 2011. "On traveling wave solutions to Hamilton-Jacobi-Bellman equation with inequality constraints," Papers 1108.1035, arXiv.org, revised May 2012.

  4. Daniel Sevcovic, 2008. "Transformation methods for evaluating approximations to the optimal exercise boundary for linear and nonlinear Black-Scholes equations," Papers 0805.0611, arXiv.org.

    Cited by:

    1. Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
    2. Tomas Bokes, 2010. "A unified approach to determining the early exercise boundary position at expiry for American style of general class of derivatives," Papers 1012.0348, arXiv.org, revised Mar 2011.

  5. Daniel Sevcovic, 2007. "An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation," Papers 0710.5301, arXiv.org.

    Cited by:

    1. Chinonso Nwankwo & Weizhong Dai, 2020. "Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step," Papers 2012.09820, arXiv.org, revised Feb 2022.
    2. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
    3. Chinonso I. Nwankwo & Weizhong Dai & Ruihua Liu, 2023. "Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 817-854, October.
    4. Chinonso I. Nwankwo & Weizhong Dai, 2024. "Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 47(1), pages 43-82, June.
    5. Tomas Bokes & Daniel Sevcovic, 2009. "Early exercise boundary for American type of floating strike Asian option and its numerical approximation," Papers 0912.1321, arXiv.org.

Articles

    Sorry, no citations of articles recorded.

More information

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (2) 2009-12-11 2010-02-20
  2. NEP-SEA: South East Asia (1) 2009-12-11

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