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A Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
1994Option pricing: Mathematical models and computation805 cited
2008Mathematical Models of Financial Derivatives567 cited
1998Penalty methods for American options with stochastic volatility290 cited
1977The valuation of warrants: Implementing a new approach254 cited
1997Numerical Methods in Finance206 cited
1982A More Accurate Finite Difference Approximation for the Valuation of Options131 cited
2006Power Penalty Method for a Linear Complementarity Problem Arising from American Option Valuation121 cited

Cited by

2012Pricing American bond options using a penalty method37 cited
2008Pricing options under jump diffusion processes with fitted finite volume method30 cited
2009A computational scheme for uncertain volatility model in option pricing29 cited
2011Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing27 cited
2009

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A Power Penalty Approach to Numerical Solutions of Two-Asset American Options

26 cited