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Cited by

• 2011An Iterative Method for Pricing American Options Under Jump-Diffusion Models75 cited
• 2002Parabolic ADI Methods for Pricing American Options on Two Stocks50 cited
• 2015ADI Schemes for Pricing American Options under the Heston Model44 cited
• 2009Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility43 cited
• 2007Pricing American Options Using LU Decomposition41 cited
• 2002A Newton method for American option pricing41 cited
• 2007Fourier Space Time-Stepping for Option Pricing With Levy Models38 cited
• 2021Pricing American drawdown options under Markov models26 cited
• 2009A Power Penalty Approach to Numerical Solutions of Two-Asset American Options26 cited
• 2011Convergenceproperty of an interior penalty approach to pricing American option26 cited
• 2007A generalized complementarity approach to solving real option problems25 cited
• 2012Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models23 cited
• 2016Numerically pricing American options under the generalized mixed fractional Brownian motion model22 cited
• 2016Application of Operator Splitting Methods in Finance