Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A splitting method for fully nonlinear degenerate parabolic PDEs

11 references·1 citing·45 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
1995The value of an Asian option532 cited
2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
2011Wellposedness of second order backward SDEs289 cited
2006Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs239 cited
2008GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES196 cited
2011A probabilistic numerical method for fully nonlinear parabolic PDEs167 cited
2007A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation137 cited
2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods101 cited
2010WHEN ARE SWING OPTIONS BANG-BANG?42 cited

Cited by

2014Monotone schemes for fully nonlinear parabolic path dependent PDEs23 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work