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Cited by

• 2010ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation183 cited
• 2006Convergence analysis of Crank–Nicolson and Rannacher time-marching124 cited
• 2011Commodity Price Dynamics92 cited
• 2010Optimal exercise of executive stock options and implications for firm cost90 cited
• 2010The Black–Scholes equation in stochastic volatility models67 cited
• 2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs60 cited
• 2017Exact Simulation of the SABR Model52 cited
• 2012The evaluation of barrier option prices under stochastic volatility48 cited
• 2011Jumps Without Tears: A New Splitting Technology for Barrier Options36 cited
• 2019Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach36 cited
• 2013A comparison study of ADI and operator splitting methods on option pricing models35 cited
• 2023Meshless methods for American option pricing through Physics-Informed Neural Networks34 cited
• 2015Circulant preconditioning technique for barrier options pricing under fractional diffusion models33 cited
• 2014Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing