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Cited by

• 2006Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation121 cited
• 2008A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)108 cited
• 2005A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion102 cited
• 2008Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance100 cited
• 2009Implications of a regime-switching model on natural gas storage valuation and optimal operation79 cited
• 2010A Hamilton–Jacobi–Bellman approach to optimal trade execution66 cited
• 2013An upwind finite difference method for a nonlinear Black–Scholes equation governing European option valuation under transaction costs60 cited
• 2011Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem57 cited
• 2009Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation57 cited
• 2015Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing51 cited
• 2003Pricing early exercise contracts in incomplete markets51 cited
• 2007Free boundary and optimal stopping problems for American Asian options51 cited
• 2009High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost