On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile

by Martin Jandačka, Daniel Ševčovič
Published 2005-01-01

Utility Indifference Option Pricing Model with a Non-Constant Risk-Aversion under Transaction Costs and Its Numerical Approximation

by Pedro Pólvora, Daniel Ševčovič
Published 2021-08-01

Multidimensional Linear and Nonlinear Partial Integro-Differential Equation in Bessel Potential Spaces with Applications in Option Pricing

by Daniel Ševčovič, Cyril Izuchukwu Udeani
Published 2021-06-01

Pricing American Options with a Non-Constant Penalty Parameter

by Anna Clevenhaus, Matthias Ehrhardt, Michael Günther, Daniel Ševčovič
Published 2020-06-01