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A linearly implicit predictor–corrector scheme for pricing American options using a penalty method approach

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Cited by

2007Intensity-based framework and penalty formulation of optimal stopping problems45 cited
2007Pricing exotic options with L-stable Padé schemes39 cited
2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited
2016A fast numerical method to price American options under the Bates model

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28 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

2018An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models25 cited

2009Tight bounds on American option prices25 cited