References

• 1973The Pricing of Options and Corporate Liabilities29,064 cited
• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 1995THE GARCH OPTION PRICING MODEL1,131 cited
• 2000Introduction and Summary of Results (Excerpt)516 cited
• 2000The Term Structure of Implied Volatility516 cited
• 2000Pricing Financial Instruments: The Finite Difference Method478 cited
• 1998Penalty methods for American options with stochastic volatility290 cited
• 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
• 1999Multigrid for American option pricing with stochastic volatility208 cited
• 2010ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation183 cited
• 2010Time Dependent Heston Model160 cited
• 2007Efficient numerical methods for pricing American options under stochastic volatility157 cited
• 2007Numerical pricing of options using high-order compact finite difference schemes86 cited
• 2003High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation78 cited
• 2012High-order compact finite difference scheme for option pricing in stochastic volatility models