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Cubic Spline Method for a Generalized Black‐Scholes Equation
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1977The valuation of warrants: Implementing a new approach254 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 1997Numerical Methods in Finance206 cited
  • 1988The Use of the Control Variate Technique in Option Pricing204 cited
  • 1982A More Accurate Finite Difference Approximation for the Valuation of Options131 cited
  • 2008Numerical Valuation of European and American Options under Kou's Jump-Diffusion Model105 cited
  • 2011A robust and accurate finite difference method for a generalized Black–Scholes equation100 cited
  • 1998An upwind numerical approach for an American and European option pricing model85 cited
  • 2008Exponential time integration for fast finite element solutions of some financial engineering problems39 cited
  • 2009A robust finite difference scheme for pricing American put options with Singularity-Separating method22 cited
  • 2013A robust nonuniform B-spline collocation method for solving the generalized Black-Scholes equation21 cited
  • 2012Spline approximation method to solve an option pricing problem

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