Articles citing this article

The Citing articles tool gives a list of articles citing the current article.
The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program. You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).

Cited article:

This article has been cited by the following article(s):

Computational Methods for Quantitative Finance

Norbert Hilber, Oleg Reichmann, Christoph Schwab and Christoph Winter
Springer Finance, Computational Methods for Quantitative Finance 105 (2013)
DOI: 10.1007/978-3-642-35401-4_9
See this article

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)
DOI: 10.1016/S1570-8659(08)00011-2
See this article

Financial Engineering

Liming Feng, Pavlo Kovalov, Vadim Linetsky and Michael Marcozzi
Handbooks in Operations Research and Management Science, Financial Engineering 15 301 (2007)
DOI: 10.1016/S0927-0507(07)15007-6
See this article

Wavelet compression of anisotropic integrodifferential operators on sparse tensor product spaces

Nils Reich
ESAIM: Mathematical Modelling and Numerical Analysis 44 (1) 33 (2010)
DOI: 10.1051/m2an/2009039
See this article

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

Luca Vincenzo Ballestra and Carlo Sgarra
Computers & Mathematics with Applications 60 (6) 1571 (2010)
DOI: 10.1016/j.camwa.2010.06.040
See this article

A finite element discretization method for option pricing with the Bates model

E. Miglio and C. Sgarra
SeMA Journal 55 (1) 23 (2011)
DOI: 10.1007/BF03322591
See this article

Real options pricing by the finite element method

A. Andalaft-Chacur, M. Montaz Ali and J. González Salazar
Computers & Mathematics with Applications 61 (9) 2863 (2011)
DOI: 10.1016/j.camwa.2011.03.070
See this article


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)
DOI: 10.12941/jksiam.2013.17.295
See this article

High-order computational methods for option valuation under multifactor models

N. Rambeerich, D.Y. Tangman, M.R. Lollchund and M. Bhuruth
European Journal of Operational Research 224 (1) 219 (2013)
DOI: 10.1016/j.ejor.2012.07.023
See this article

Reconstructing local volatility using total variation

Rui Yan Zhang, Fang Fang Xu and Jian Chao Huang
Acta Mathematica Sinica, English Series 33 (2) 263 (2017)
DOI: 10.1007/s10114-017-5178-7
See this article


Journal of the Korea Society for Industrial and Applied Mathematics 20 (2) 163 (2016)
DOI: 10.12941/jksiam.2016.20.163
See this article

Variational Analysis for Options with Stochastic Volatility and Multiple Factors

J. Frédéric Bonnans and Axel Kröner
SIAM Journal on Financial Mathematics 9 (2) 465 (2018)
DOI: 10.1137/17M1130836
See this article

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)
DOI: 10.1155/2015/359028
See this article

DG framework for pricing European options under one-factor stochastic volatility models

Jiří Hozman and Tomáš Tichý
Journal of Computational and Applied Mathematics 344 585 (2018)
DOI: 10.1016/
See this article

Analytic approach to solve a degenerate parabolic PDE for the Heston model

Anna Canale, Rosa Maria Mininni and Abdelaziz Rhandi
Mathematical Methods in the Applied Sciences (2017)
DOI: 10.1002/mma.4363
See this article

A computational method to price with transaction costs under the nonlinear Black–Scholes model

Zeyad Al–Zhour, Mahdiar Barfeie, Fazlollah Soleymani and Emran Tohidi
Chaos, Solitons & Fractals 127 291 (2019)
DOI: 10.1016/j.chaos.2019.06.033
See this article

Encyclopedia of Quantitative Finance

Yves Achdou and Olivier Pironneau
Encyclopedia of Quantitative Finance (2010)
DOI: 10.1002/9780470061602.eqf12007
See this article

Finite Element Methods for Partial Differential Equations for Option Pricing

Silke Prohl
SSRN Electronic Journal (2019)
DOI: 10.2139/ssrn.3312203
See this article