Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem

On the transport-diffusion algorithm and its applications to the Navier-Stokes equations

Olivier Pironneau · Numerische Mathematik · 1982 · 665 citations

Natural Sciences, Mathematics, Physics +14

Far Field Boundary Conditions for Black--Scholes Equations

Raul Kangro, R. A. Nicolaides · SIAM Journal on Numerical Analysis · 2000 · 249 citations

Computing, Finance, Mathematics +14

PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS

Jérôme Barraquand, Thierry Pudet · Mathematical Finance · 1996 · 179 citations

Business, Finance, Asset Pricing +16

A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

Y. d’Halluin, Peter Forsyth, George Labahn · SIAM Journal on Scientific Computing · 2005 · 101 citations

Business, Economics, Finance +17

An upwind numerical approach for an American and European option pricing model

Carlos Vázquez · Applied Mathematics and Computation · 1998 · 85 citations

Business, Finance, Mathematics +13