Cen, Zhongdi; Le, Anbo An efficient numerical method for pricing a Russian option with a finite time horizon. (English) Zbl 1480.91312 Int. J. Comput. Math. 98, No. 10, 2025-2039 (2021). MSC: 91G60 65M06 65M12 65M15 91G20 PDFBibTeX XMLCite \textit{Z. Cen} and \textit{A. Le}, Int. J. Comput. Math. 98, No. 10, 2025--2039 (2021; Zbl 1480.91312) Full Text: DOI
Jeon, Junkee; Oh, Jehan \((1+2)\)-dimensional Black-Scholes equations with mixed boundary conditions. (English) Zbl 1433.35162 Commun. Pure Appl. Anal. 19, No. 2, 699-714 (2020). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 35K20 91G20 35Q91 35K65 PDFBibTeX XMLCite \textit{J. Jeon} and \textit{J. Oh}, Commun. Pure Appl. Anal. 19, No. 2, 699--714 (2020; Zbl 1433.35162) Full Text: DOI
Jeon, Junkee; Han, Heejae; Kim, Hyeonuk; Kang, Myungjoo An integral equation representation approach for valuing Russian options with a finite time horizon. (English) Zbl 1470.91280 Commun. Nonlinear Sci. Numer. Simul. 36, 496-516 (2016). MSC: 91G20 91G80 35C15 35K10 35R35 35R60 45G10 PDFBibTeX XMLCite \textit{J. Jeon} et al., Commun. Nonlinear Sci. Numer. Simul. 36, 496--516 (2016; Zbl 1470.91280) Full Text: DOI