Numerical pricing of options using high-order compact finite difference schemes
Journal of Computational and Applied Mathematics
On the numerical solution of nonlinear Black-Scholes equations
Computers & Mathematics with Applications
Multi-dimensional option pricing using radial basis functions and the generalized Fourier transform
Journal of Computational and Applied Mathematics
A second-order Nystrom-type discretization for the early-exercise curve of American put options
International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES
An efficient implementation of a least squares Monte Carlo method for valuing American-style options
International Journal of Computer Mathematics - SPECIAL ISSUE ON FINANCIAL DERIVATIVES
Pricing American options using a space-time adaptive finite difference method
Mathematics and Computers in Simulation
A Penalty Method for the Numerical Solution of Hamilton-Jacobi-Bellman (HJB) Equations in Finance
SIAM Journal on Numerical Analysis
Penalty Methods for the Solution of Discrete HJB Equations—Continuous Control and Obstacle Problems
SIAM Journal on Numerical Analysis
A kernel-based algorithm for numerical solution of nonlinear PDEs in finance
LSSC'11 Proceedings of the 8th international conference on Large-Scale Scientific Computing
A comparison study of ADI and operator splitting methods on option pricing models
Journal of Computational and Applied Mathematics
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