A linearly implicit predictor–corrector scheme for pricing American options using a penalty method approach

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.1K citations

Option Pricing, Liability (Financial Accounting), Asset Pricing +11

Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems

H.A. van der Vorst · SIAM Journal on Scientific and Statistical Computing · 1992 · 5.2K citations

Numerical Analysis, Bi-conjugate Gradients, Engineering +13

“Options, Futures, and Other Derivatives”

AMBER – ABBS Management Business and Entrepreneurship Review · 2016 · 5.1K citations · Full text

Option Pricing, Asset Pricing, Derivative Instruments +15

Robustness of the Black and Scholes Formula

Nicole El Karoui, Monique Jeanblanc‐Picquè, Steven E. Shreve · Mathematical Finance · 1998 · 379 citations

Economics, Black-scholes Model, Volatility Modeling +13

Penalty methods for American options with stochastic volatility

R. Zvan, Peter Forsyth, K.R. Vetzal · Journal of Computational and Applied Mathematics · 1998 · 289 citations

Option Pricing, Multivariate Stochastic Volatility, Engineering +5