Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS

16 references·2 citing·28 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1973Theory of Rational Option Pricing8,060 cited
2005Theory of rational option pricing7,161 cited
1995The Mathematics of Financial Derivatives1,037 cited
1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
2000Pricing Financial Instruments: The Finite Difference Method478 cited
1977The Valuation of American Put Options443 cited
2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
2012Tools for Computational Finance220 cited
2002Penalty and front-fixing methods for the numerical solution of American option problems175 cited
2003A Fast Numerical Method for the Black--Scholes Equation of American Options124 cited
2004Analysis of the stability of the linear boundary condition for the Black–Scholes equation118 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004

Option pricing with Mellin transnforms

114 cited

Cited by

2012The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost45 cited
2016Asymptotic expansion of solutions to the Black–Scholes equation arising from American option pricing near the expiry27 cited