Pricing American Options Using LU Decomposition

By Samuli Ikonen, Jari Toivanen. 2007

50 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ce6fe84f08ac991a19223a03eead8a4f4fc309cf

How researchers see this paper

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

1. Rebecca Carter
2. M. Giles
3. Krzysztof J. Fidkowski
4. Dominique Thévenin
5. Steffen Dereich
6. David L. Darmofal
7. Eric J. Nielsen
8. Benjamin Peherstorfer

Citations in the corpus

• Convergence analysis of Crank-Nicolson and Rannacher time-marching (2006, methodology): “This solution, often referred to as Rannacher time-stepping, has been used with success in approximations of the Black-Scholes equations [6, 5, 12, 4, 7].”