Valuation of game options in jump-diffusion model and with applications to convertible bonds.
Valuing barrier options using the adaptive discontinuous Galerkin method
This paper is devoted to barrier options and the main objective is to develop a sufficiently robust, accurate and efficient method for computation of their values driven according to the well-known Black-Scholes equation. The main idea is based on the discontinuous Galerkin method together with a spatial adaptive approach. This combination seems to be a promising technique for the solving of such problems with discontinuous solutions as well as for consequent optimization of the number of degrees...
Valuing time-dependent CEV barrier options.
VaR: exchange rate risk and jump risk.
Variance reduction in a stochastic volatility scenario.
Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.