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
• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 1973Theory of Rational Option Pricing8,060 cited
• 2005Theory of rational option pricing7,161 cited
• 1968A two-dimensional interpolation function for irregularly-spaced data5,259 cited
• 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
• 2008Mathematical Models of Financial Derivatives567 cited
• 2000Pricing Financial Instruments: The Finite Difference Method478 cited
• 1998Penalty methods for American options with stochastic volatility290 cited
• 2012Tools for Computational Finance220 cited
• 1999Multigrid for American option pricing with stochastic volatility208 cited
• 2004Operator splitting methods for American option pricing192 cited
• 2010ADI Finite Difference Schemes for Option Pricing in the Heston Model with Correlation183 cited
• 2007Efficient numerical methods for pricing American options under stochastic volatility157 cited