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• 2009THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES77 cited
• 2010The Black–Scholes equation in stochastic volatility models67 cited
• 2020Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions63 cited
• 2008Lapse rate modeling: a rational expectation approach53 cited
• 2017Exact Simulation of the SABR Model52 cited
• 2011Radial basis functions with application to finance: American put option under jump diffusion50 cited
• 2009Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation44 cited
• 2016Boundary conditions for the single-factor term structure equation43 cited
• 2009Numerical methods for Lévy processes34 cited
• 2015Circulant preconditioning technique for barrier options pricing under fractional diffusion models33 cited
• 2017Resource extraction with a carbon tax and regime switching prices: Exercising your options31 cited
• 2010Boundary conditions for the single-factor term structure equation28 cited
• 2012Real Options–Based Approach for Valuation of Government Guarantees in Public–Private Partnerships28 cited