Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Kandilarov, J. D.
and
Ševčovič, D.
2012.
Large-Scale Scientific Computing.
Vol. 7116,
Issue. ,
p.
558.
Christensen, Sören
2014.
A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING.
Mathematical Finance,
Vol. 24,
Issue. 1,
p.
156.
Lu, Xiaoping
and
Putri, Endah R.M.
2015.
Semi-analytic valuation of stock loans with finite maturity.
Communications in Nonlinear Science and Numerical Simulation,
Vol. 27,
Issue. 1-3,
p.
206.
von Sydow, Lina
Josef Höök, Lars
Larsson, Elisabeth
Lindström, Erik
Milovanović, Slobodan
Persson, Jonas
Shcherbakov, Victor
Shpolyanskiy, Yuri
Sirén, Samuel
Toivanen, Jari
Waldén, Johan
Wiktorsson, Magnus
Levesley, Jeremy
Li, Juxi
Oosterlee, Cornelis W.
Ruijter, Maria J.
Toropov, Alexander
and
Zhao, Yangzhang
2015.
BENCHOP – The BENCHmarking project in option pricing.
International Journal of Computer Mathematics,
Vol. 92,
Issue. 12,
p.
2361.
Lu, Xiaoping
and
Putri, Endah R.M.
2016.
Finite maturity margin call stock loans.
Operations Research Letters,
Vol. 44,
Issue. 1,
p.
12.
do Rosário Grossinho, Maria
Faghan, Yaser
and
Ševčovič, Daniel
2017.
Novel Methods in Computational Finance.
Vol. 25,
Issue. ,
p.
129.
Grossinho, Maria do Rosário
Kord Faghan, Yaser
and
Ševčovič, Daniel
2017.
Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function.
Asia-Pacific Financial Markets,
Vol. 24,
Issue. 4,
p.
291.
Tse, Wai Man Raymond
2017.
Closed-form Solution for American Options.
SSRN Electronic Journal ,
Ballestra, Luca Vincenzo
2018.
Fast and accurate calculation of American option prices.
Decisions in Economics and Finance,
Vol. 41,
Issue. 2,
p.
399.
Chernogorova, Tatiana P.
Koleva, Miglena N.
and
Valkov, Radoslav L.
2018.
A two-grid penalty method for American options.
Computational and Applied Mathematics,
Vol. 37,
Issue. 3,
p.
2381.
Nedaiasl, Khadijeh
Bastani, Ali Foroush
and
Rafiee, Aysan
2019.
A product integration method for the approximation of the early exercise boundary in the American option pricing problem.
Mathematical Methods in the Applied Sciences,
Vol. 42,
Issue. 8,
p.
2825.
Cruz, José M. T. S.
and
Ševčovič, Daniel
2020.
On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models.
Japan Journal of Industrial and Applied Mathematics,
Vol. 37,
Issue. 3,
p.
697.
Clevenhaus, Anna
Ehrhardt, Matthias
Günther, Michael
and
Ševčovič, Daniel
2020.
Pricing American Options with a Non-Constant Penalty Parameter.
Journal of Risk and Financial Management,
Vol. 13,
Issue. 6,
p.
124.
Fazio, Riccardo
Insana, Alessandra
and
Jannelli, Alessandra
2021.
A Front-Fixing Implicit Finite Difference Method for the American Put Options Model.
Mathematical and Computational Applications,
Vol. 26,
Issue. 2,
p.
30.
Veliu, Denis
De Marchis, Roberto
Marino, Mario
and
Martire, Antonio Luciano
2022.
An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options.
Mathematics,
Vol. 11,
Issue. 1,
p.
187.
Kelly, Cónall
2024.
Computation and Simulation for Finance.
p.
137.