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PATH AVERAGED OPTION VALUE CRITERIA FOR SELECTING BETTER OPTIONS
JUNSEOK KIM, MINHYUN YOO, HYEJU SON, et al. Journal of the Korea Society for Industrial and Applied Mathematics 20(2) 163 (2016) https://doi.org/10.12941/jksiam.2016.20.163
Accuracy, Robustness, and Efficiency of the Linear Boundary Condition for the Black-Scholes Equations
Darae Jeong, Seungsuk Seo, Hyeongseok Hwang, et al. Discrete Dynamics in Nature and Society 2015 1 (2015) https://doi.org/10.1155/2015/359028
Computational Methods for Quantitative Finance
Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter Springer Finance, Computational Methods for Quantitative Finance 105 (2013) https://doi.org/10.1007/978-3-642-35401-4_9
AN ADAPTIVE MULTIGRID TECHNIQUE FOR OPTION PRICING UNDER THE BLACK-SCHOLES MODEL
Darae Jeong, Yibao Li, Yongho Choi, Kyoung-Sook Moon and Junseok Kim Journal of the Korea Society for Industrial and Applied Mathematics 17(4) 295 (2013) https://doi.org/10.12941/jksiam.2013.17.295
High-order computational methods for option valuation under multifactor models
Special Volume: Mathematical Modeling and Numerical Methods in Finance
Olivier Pironneau and Yves Achdou Handbook of Numerical Analysis, Special Volume: Mathematical Modeling and Numerical Methods in Finance 15 369 (2009) https://doi.org/10.1016/S1570-8659(08)00011-2
Financial Engineering
Liming Feng, Pavlo Kovalov, Vadim Linetsky and Michael Marcozzi Handbooks in Operations Research and Management Science, Financial Engineering 15 301 (2007) https://doi.org/10.1016/S0927-0507(07)15007-6