Jan Večeř

A new PDE approach for pricing arithmetic average Asian options

Jan Večeř · The Journal of Computational Finance · 2001 · 280 citations

Option Pricing, New Pde Approach, Asset Pricing +9

Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects

Nicola Chiara, Michael J. Garvin, Jan Večeř · Journal of Infrastructure Systems · 2007 · 167 citations

Pricing Asian options in a semimartingale model

Jan Večeř, Mingxin Xu · Quantitative Finance · 2004 · 83 citations

Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups

Libor Pospisil, Jan Večeř, Olympia Hadjiliadis · Stochastic Processes and their Applications · 2009 · 58 citations

Engineering, Diffusion Process, Stochastic Calculus +6

Pricing Asian options in a semimartingale model

Jan Večeř, Mingxin Xu · Quantitative Finance · 2004 · 56 citations

Option Pricing, Asset Pricing, Derivative Pricing +11