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Parabolic ADI Methods for Pricing American Options on Two Stocks

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References

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1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited
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2012Finite-Element Methods46 cited
2015ADI Schemes for Pricing American Options under the Heston Model44 cited
2005Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

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41 cited

2005Optimal Switching with Applications to Energy Tolling Agreements40 cited

2003First-order schemes in the numerical quantization method30 cited

2008Numerical simulation of BSDEs using empirical regression methods: theory and practice28 cited

2009Optimal stopping and American options20 cited