Concepedia

Adaptive <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si38.gif" display="inline" overflow="scroll"><mml:mi>θ</mml:mi></mml:math>-methods for pricing American options

A.Q.M. Khaliq, David A. Voss, Kamran Kazmi

Journal of Computational and Applied Mathematics · 2007 · 37 citations · 21 references

DOI

Concepts

References

21

The Pricing of Options and Corporate Liabilities

Fischer Black, Myron S. Scholes · Journal of Political Economy · 1973 · 29.4K citations

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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 · 5.3K citations

, , +9

Quadratic Convergence for Valuing American Options Using a Penalty Method

Peter Forsyth, K.R. Vetzal · SIAM Journal on Scientific Computing · 2002 · 332 citations

, , +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

, , +16

Robust numerical methods for PDE models of Asian options

R. Zvan, Peter Forsyth, K.R. Vetzal · The Journal of Computational Finance · 1997 · 221 citations

, , +16