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Cited by

• 2010Continuous time mean variance asset allocation: A time-consistent strategy119 cited
• 2013Optimal transportation under controlled stochastic dynamics117 cited
• 1997Numerical Analysis of American Option Pricing in a Jump-Diffusion Model101 cited
• 2008Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance100 cited
• 2004Convergence of Binomial Tree Methods for European/American Path-Dependent Options74 cited
• 2015Monetary Policy and Sovereign Debt Vulnerability69 cited
• 2003Two-factor convertible bonds valuation using the method of characteristics/finite elements67 cited
• 2009Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation57 cited
• 2004Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation52 cited
• 2015Quintic B-spline collocation approach for solving generalized Black–Scholes equation governing option pricing51 cited
• 2003Pricing early exercise contracts in incomplete markets51 cited
• 2002Parabolic ADI Methods for Pricing American Options on Two Stocks50 cited
• 1994Numerical schemes for investment models with singular transactions50 cited
• 2012