Concepedia

K.R. Vetzal

KV

27

Publications

2.2K

Citations

23

H-Index

1997

Active since

Affiliations

University of Waterloo(Current)

Morgan Stanley (United States)

K.R. Vetzal is an author at University of Waterloo specializing in engineering, business, and option pricing.

Top concepts

EngineeringBusinessOption PricingAsset PricingFinanceNumerical AnalysisMathematical ProgrammingFinancial EngineeringMarket DesignJump Diffusions

Publications per year

1997–2017

27

Publications

27

Quadratic Convergence for Valuing American Options Using a Penalty Method

Peter Forsyth, K.R. Vetzal · SIAM Journal on Scientific Computing · 2002 · 327 citations

Mathematical Programming, Numerical Analysis, Option Pricing +10

Penalty methods for American options with stochastic volatility

R. Zvan, Peter Forsyth, K.R. Vetzal · Journal of Computational and Applied Mathematics · 1998 · 289 citations

Option Pricing, Multivariate Stochastic Volatility, Engineering +5

Robust numerical methods for PDE models of Asian options

R. Zvan, Peter Forsyth, K.R. Vetzal · The Journal of Computational Finance · 1997 · 221 citations

Numerical Analysis, Option Pricing, Engineering +11

PDE methods for pricing barrier options

R. Zvan, K.R. Vetzal, Peter Forsyth · Journal of Economic Dynamics and Control · 2000 · 195 citations

Numerical Analysis, Mathematical Programming, Option Pricing +4

Analysis of the stability of the linear boundary condition for the Black–Scholes equation

H. Windcliff, Peter Forsyth, K.R. Vetzal · The Journal of Computational Finance · 2004 · 114 citations

Numerical Analysis, Linear Boundary Condition, Numerical Method For Partial Differential Equation +9

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