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Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing
16 references·0 citing·37 second hop
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References

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  • 2008Mathematical Models of Financial Derivatives567 cited
  • 2015Rational Theory of Warrant Pricing534 cited
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  • 1990Variational inequalities and the pricing of American options424 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 2006Finite Difference Methods in Financial Engineering: A Partial Differential Equation Approach250 cited
  • 1998Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function

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241 cited
  • 2004Operator splitting methods for American option pricing192 cited
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