Penalty methods for American options with stochastic volatility

American option pricing under stochastic volatility: a simulation-based approach

Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come

Numerical solution of two asset jump diffusion models for option valuation

Applied Numerical Mathematics

Adaptive θ-methods for pricing American options

Journal of Computational and Applied Mathematics

Penalty methods for the numerical solution of American multi-asset option problems

Journal of Computational and Applied Mathematics

A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility

Journal of Scientific Computing

Exponential Rosenbrock integrators for option pricing

Journal of Computational and Applied Mathematics

The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach

Computers & Mathematics with Applications

Parallel Two-Grid Semismooth Newton-Krylov-Schwarz Method for Nonlinear Complementarity Problems

Journal of Scientific Computing

American Options Under Stochastic Volatility

Operations Research

Pricing American options with uncertain volatility through stochastic linear complementarity models

Computational Optimization and Applications

Methods for Pricing American Options under Regime Switching

SIAM Journal on Scientific Computing

A Second-Order Difference Scheme for the Penalized Black---Scholes Equation Governing American Put Option Pricing

Computational Economics

High-order compact finite difference scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics

A penalty method for a fractional order parabolic variational inequality governing American put option valuation

Computers & Mathematics with Applications