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Cited by

• 2007Efficient numerical methods for pricing American options under stochastic volatility157 cited
• 2009NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING85 cited
• 2007Penalty methods for the numerical solution of American multi-asset option problems84 cited
• 2007Space–time adaptive finite difference method for European multi-asset options77 cited
• 2007Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty69 cited
• 2007A fast high-order finite difference algorithm for pricing American options68 cited
• 2005A linearly implicit predictor–corrector scheme for pricing American options using a penalty method approach62 cited
• 2008A Front-Fixing Finite Element Method for the Valuation of American Options56 cited
• 2008A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS52 cited
• 2008A moving boundary approach to American option pricing47 cited
• 2012Finite-Element Methods46 cited
• 2013A penalty method for a fractional order parabolic variational inequality governing American put option valuation45 cited
• 2007Pricing American Options Using LU Decomposition41 cited
• 2016Radial basis function partition of unity operator splitting method for pricing multi-asset American options