Pricing American call options using the Black–Scholes equation with a nonlinear volatility function
M. R. Grossinho, Y. Kord and D. Sevcovic
Journal of Computational Finance 23, 93-113 (2020).
Pricing Perpetual Put Options by the Black-Scholes Equation with a Nonlinear Volatility Function
M. R. Grossinho, Y. Kord and D. Sevcovic
Asia Pacific Financial Markets 24, 291-308 (2017).
Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations
M. R. Grossinho, Y. Kord and D. Sevcovic
Novel Methods in Computational Finance, Editors: Matthias Ehrhardt, Michael Gunther and Jan ter Maten, Springer, Springer Chpater 8, 129-142 (2017).