Gyulov, Tihomir B.; Koleva, Miglena N. Penalty method for indifference pricing of American option in a liquidity switching market. (English) Zbl 1479.91444 Appl. Numer. Math. 172, 525-545 (2022). MSC: 91G60 65M06 91G20 60G40 PDFBibTeX XMLCite \textit{T. B. Gyulov} and \textit{M. N. Koleva}, Appl. Numer. Math. 172, 525--545 (2022; Zbl 1479.91444) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. On splitting-based numerical methods for nonlinear models of European options. (English) Zbl 1386.91163 Int. J. Comput. Math. 93, No. 5, 781-796 (2016). MSC: 91G60 35Q91 35B09 65M06 91G20 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Int. J. Comput. Math. 93, No. 5, 781--796 (2016; Zbl 1386.91163) Full Text: DOI
Koleva, Miglena N.; Vulkov, Lubin G. A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem. (English) Zbl 1338.91154 J. Comput. Appl. Math. 293, 112-127 (2016). MSC: 91G60 65M06 65M12 91G20 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, J. Comput. Appl. Math. 293, 112--127 (2016; Zbl 1338.91154) Full Text: DOI arXiv
Koleva, Miglena N.; Vulkov, Lubin G. A second-order positivity preserving numerical method for gamma equation. (English) Zbl 1329.91140 Appl. Math. Comput. 220, 722-734 (2013). MSC: 91G60 65M08 PDFBibTeX XMLCite \textit{M. N. Koleva} and \textit{L. G. Vulkov}, Appl. Math. Comput. 220, 722--734 (2013; Zbl 1329.91140) Full Text: DOI