Qualitative and Quantitative Analysis of Black-Scholes Type Models of Pricing Derivatives on Assets with General Function of Volatility
Magdaléna Žitňanská
PhD thesis advisor: Daniel Ševčovič

PhD thesis - Full text   

In the thesis we study and analyze the nonlinear models of Black-Scholes type, which are becoming more and more important since they take into account many efects that are not included in the linear model.
The main goals of the thesis can be summarized as follows:


Related papers
[1] D. Ševčovič, M. Žitňanská: Analysis of the nonlinear option pricing model under variable transaction costs, Asia-Pacific Financial Markets, 23(2) 2016, 153-174.
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    arXiv 1603.03874    DOI: 0.1007/s10690-016-9213-y