PDE methods for pricing barrier options (Q1583144): Difference between revisions

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+An explicit finite difference approach to the pricing of barrier options
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+Q4868578
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+A Continuity Correction for Discrete Barrier Options
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+Connecting discrete and continuous path-dependent options
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+Two extensions to barrier option valuation
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+Fast numerical valuation of American, exotic and complex options
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+A framework for valuing corporate securities
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+The valuation of American barrier options using the decomposition technique
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+PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
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+Variational inequalities and the pricing of American options
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+Pricing Options With Curved Boundaries<sup>1</sup>
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+Characterization of Optimal Stepsize Sequences for Methods for Stiff Differential Equations
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+Q4905685
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+The valuation and behavior of Black-Scholes options subject to intertemporal default risk
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+Q5664923
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+Q3696432
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+Some mathematical results in the pricing of American options
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+Penalty methods for American options with stochastic volatility
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