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Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility

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References

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2004

Operator splitting methods for American option pricing

192 cited

Cited by

2014Pricing Barrier and Bermudan Style Options Under Time-Changed Lévy Processes: Fast Hilbert Transform Approach32 cited
2016A fast numerical method to price American options under the Bates model28 cited
2017Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov–Galerkin method27 cited
2013Iterative Methods for Pricing American Options under the Bates Model25 cited