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Article: 11080000 Numerical methods, solution of PDE's.(5: Citations)(Recommended readings)

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Foundations and Trends in Finance
Article date:
September 1, 2005
Author:
Copyright

B. Alziary, J. Decamps and P. Koehl, 1997, "A PDE Approach to Asian Options--Analytical and Numerical Evidence", Journal of Banking and Finance, 21:613-640

G. Baroneadesi and R. Whaley, 1987, "Efficient Analytic Approximation of American Option Values", Journal of Finance, 42:301-320

J. Barraquand and D. Martineau, 1995, "Numerical Valuation of High-Dimensional Multivariate American Securities", Journal of Financial and Quantitative Analysis, 30:383-405

E. Barucci, L. Landi and U. Cherubini, 1996, "Computational Methods in Finance--Option Pricing", IEEE Computational Science and Engineering, 3:66-80

M. Chaudhury, 1995, "Some ...

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