A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing

The Pricing of Options and Corporate Liabilities

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

Business, Economics, Finance +13

“Options, Futures, and Other Derivatives”

AMBER – ABBS Management Business and Entrepreneurship Review · 2016 · 5.2K citations · Full text

Business, Economics, Finance +11

Numerical Solution of Partial Differential Equations, Finite Difference Methods.

V. T., G. D. Smith · Mathematics of Computation · 1987 · 2K citations

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American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

Mark Broadie, Jérôme Detemple · Review of Financial Studies · 1996 · 573 citations

Business, Finance, Asset Pricing +16

Numerical Methods for the Variable-Order Fractional Advection-Diffusion Equation with a Nonlinear Source Term

Peixian Zhuang, F. Liu, Vo Anh et al. · SIAM Journal on Numerical Analysis · 2009 · 542 citations · Full text

Natural Sciences, Computational Engineering, Physics +12