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A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model

Grzegorz Krzyżanowski, Marcin Magdziarz

Communications in Nonlinear Science and Numerical Simulation · 2020 · 12 citations · 41 references

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References

41

ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*

Robert C. Merton · The Journal of Finance · 1974 · 11K citations · Full text

, , +16

The Pricing of Options on Assets with Stochastic Volatilities

John Hull, Alan White · The Journal of Finance · 1987 · 3.9K citations · Full text

, , +12

Valuing American Options by Simulation: A Simple Least-Squares Approach

Francis A. Longstaff, Eduardo S. Schwartz · Review of Financial Studies · 2001 · 3.3K citations

, , +16

On the Pricing of Corporate Debt: The Risk Structure of Interest Rates

Robert C. Merton · The Journal of Finance · 1974 · 2.8K citations

, , +17

Finite difference/spectral approximations for the time-fractional diffusion equation

Yumin Lin, Chuanju Xu · Journal of Computational Physics · 2007 · 1.8K citations

, , +14