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A high-order finite difference method for option valuation
16 references·0 citing·39 second hop
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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
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1985Option Pricing and Replication with Transactions Costs916 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 1997The Complete Guide to Option Pricing Formulas537 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1998Option pricing with transaction costs and a nonlinear Black-Scholes equation357 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2009Pricing early-exercise and discrete barrier options by fourier-cosine series expansions279 cited
  • 2000Far Field Boundary Conditions for Black--Scholes Equations252 cited
  • 2008A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes249 cited
  • 1999Multigrid for American option pricing with stochastic volatility

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208 cited
  • 2004A penalty method for American options with jump diffusion processes202 cited
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