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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models
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Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 26 checked references that resolve
resolves10.1007/978-3-642-25100-9_25
On the Stability of a Compact Finite Difference Scheme for Option Pricing
resolves10.1051/m2an:2004018
Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
resolves10.1142/s0219024903002183
High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
resolves10.1016/s0168-9274(99)00105-1
High order conservative difference methods for 2D drift-diffusion model on non-uniform grid
resolves10.4208/cicp.230709.080710a
High Order Compact Schemes in Projection Methods for Incompressible Viscous Flows
resolves10.1137/0718014
The Convergence Rate for Difference Approximations to General Mixed Initial-Boundary Value Problems
resolves10.1093/rfs/6.2.327
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
resolves10.1002/num.20239
Efficient numerical methods for pricing American options under stochastic volatility
resolves10.1080/00207160802609829
High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
resolves10.1007/s10543-010-0249-5
On stability of numerical schemes via frozen coefficients and the magnetic induction equations
resolves10.1137/1.9780898717938
Finite Difference Schemes and Partial Differential Equations, Second Edition
resolves10.1016/j.cam.2007.01.035
Numerical pricing of options using high-order compact finite difference schemes
resolves10.1007/s10915-009-9333-x
A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility
resolves10.1016/s0377-0427(98)00037-5
Penalty methods for American options with stochastic volatility
The 3 references without a DOI — listed, not checked
no DOI — not checkedADI finite difference schemes for option pricing in the Heston model with correlation
no DOI — not checkedref20
no DOI — not checkedref25
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