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COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

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2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach

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67 cited

2009A tree-based method to price American options in the Heston model60 cited

2009A fast Fourier transform technique for pricing American options under stochastic volatility45 cited

2015ADI Schemes for Pricing American Options under the Heston Model44 cited

2009Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility43 cited

2010Pricing American options using a space-time adaptive finite difference method35 cited

2009A Componentwise Splitting Method for Pricing American Options Under the Bates Model32 cited

2011American Options Under Stochastic Volatility30 cited

2015American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics26 cited