Concepedia

Space–time adaptive finite difference method for European multi-asset options

Per Lötstedt, Jonas Persson, Lina von Sydow, Johan Tysk

Computers & Mathematics with Applications · 2007 · 76 citations · 28 references

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References

28

The Pricing of Options and Corporate Liabilities

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

, , +13

GMRES: A Generalized Minimal Residual Algorithm for Solving Nonsymmetric Linear Systems

Martin H. Schultz · SIAM Journal on Scientific and Statistical Computing · 1986 · 11.1K citations

, , +15

Solving ordinary differential equations I. nonstiff problems

Ernst Hairer, Gerhard Wanner · Mathematics and Computers in Simulation · 1987 · 4.1K citations · Full text

, , +9

Partial differential equations of parabolic type

John S. Maybee · Journal of the Franklin Institute · 1965 · 3.3K citations

, , +11

The valuation of options for alternative stochastic processes

John C. Cox, Stephen A. Ross · Journal of Financial Economics · 1976 · 3K citations

, , +12