Adaptive θ-methods for pricing American options

By Abdul Khaliq, D. Voss, Kamran Kazmi. 2008

69 citations recorded by the source corpus.

Subfields: Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/2dbea9389384a2d3017d8ecdeda548a9b4687e2c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. R. Liu
2. Abdul Khaliq
3. Alessandro Ramponi

In Numerical Analysis

1. R. Liu
2. Abdul Khaliq

Citations in the corpus

• New Numerical Scheme for Pricing American Option with Regime-Switching (2009, methodology): “Khaliq et al. (2006, 2008) developed an efficient implicit scheme using the penalty method.”