Pricing European and American options under Heston model using discontinuous Galerkin finite elements

The Pricing of Options and Corporate Liabilities

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

Business, Economics, Finance +13

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

Steven L. Heston · Review of Financial Studies · 1993 · 9.1K citations

Business, Economics, Finance +13

Unified Analysis of Discontinuous Galerkin Methods for Elliptic Problems

Douglas N. Arnold, Franco Brezzi, Bernardo Cockburn et al. · SIAM Journal on Numerical Analysis · 2002 · 3.2K citations

Computing, Computational Engineering, Computational Mechanics +11

Pricing foreign currency options with stochastic volatility

Angelo Melino, Stuart M. Turnbull · Journal of Econometrics · 1990 · 767 citations

Business, Economics, Finance +14

The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

Colin W. Cryer · SIAM Journal on Control · 1971 · 439 citations · Full text

Natural Sciences, Mathematics, Algorithms +11