Hozman, Jiří; Tichý, Tomáš; Vlasák, Miloslav DG method for pricing European options under Merton jump-diffusion model. (English) Zbl 1524.65547 Appl. Math., Praha 64, No. 5, 501-530 (2019). MSC: 65M60 35Q91 65M15 91G60 91G80 35R09 91G20 PDFBibTeX XMLCite \textit{J. Hozman} et al., Appl. Math., Praha 64, No. 5, 501--530 (2019; Zbl 1524.65547) Full Text: DOI
Herzog, Roland; Kunisch, Karl; Sass, Jörn Primal-dual methods for the computation of trading regions under proportional transaction costs. (English) Zbl 1258.49042 Math. Methods Oper. Res. 77, No. 1, 101-130 (2013). MSC: 49M15 49M25 91G10 PDFBibTeX XMLCite \textit{R. Herzog} et al., Math. Methods Oper. Res. 77, No. 1, 101--130 (2013; Zbl 1258.49042) Full Text: DOI Link
Cen, Zhongdi; Le, Anbo A robust finite difference scheme for pricing American put options with singularity-separating method. (English) Zbl 1192.91190 Numer. Algorithms 53, No. 4, 497-510 (2010). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G60 91G20 65M12 PDFBibTeX XMLCite \textit{Z. Cen} and \textit{A. Le}, Numer. Algorithms 53, No. 4, 497--510 (2010; Zbl 1192.91190) Full Text: DOI