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Adaptive θ -methods for pricing American options

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References

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2004

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Convergence of Binomial Tree Methods for European/American Path-Dependent Options

74 cited

Cited by

2013A comparison study of ADI and operator splitting methods on option pricing models35 cited
2010On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call options30 cited
2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited