Daniel Ševčovič

Professor Daniel Ševčovič works mainly in the field of applications of partial differential equations in mathematical theory of finance and differential geometry. He is a professor of Mathematics at Comenius University in Bratislava, Slovakia. He wrote five books and ninety scientific papers in the field of applications of differential equations in financial mathematics.

Articles by Daniel Ševčovič

Original research

Pricing American call options using the Black–Scholes equation with a nonlinear volatility function

In this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.

24 Jan 2020

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