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2. A recombining lattice option pricing model that relaxes the assumption of lognormality. (2011). Brorsen, B ; Ji, Dasheng.
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   RePEc:kap:revdev:v:14:y:2011:i:3:p:349-367.

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1. On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets. (2023). Yang, Jiefei ; Li, Guanglian.
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   RePEc:arx:papers:2309.08287.

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2. Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation. (2022). Cui, Zhenyu ; Vachon, Marie-Claude ; MacKay, Anne.
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   RePEc:arx:papers:2207.14793.

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3. Option Pricing and CVA Calculations using the Monte Carlo-Tree (MC-Tree) Method. (2022). Trinh, Yen Thuan ; Hanzon, Bernard.
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   RePEc:arx:papers:2202.00785.

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4. American option pricing: Optimal Lattice models and multidimensional efficiency tests. (2021). Shang, Qianru ; Byrne, Brian.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:41:y:2021:i:4:p:514-535.

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5. A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing. (2019). Shahmorad, S ; Kalantari, R.
   In: Computational Economics.
   RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9734-0.

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6. Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal’s simplex. (2018). Sierag, Dirk ; Hanzon, Bernard.
   In: Annals of Operations Research.
   RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2655-4.

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7. Equity stakes and exit: An experimental approach to decomposing exit delay. (2017). Croson, Rachel ; Elfenbein, Daniel W ; Knott, Anne Marie.
   In: Strategic Management Journal.
   RePEc:bla:stratm:v:38:y:2017:i:2:p:278-299.

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8. Efficient High-Order Numerical Methods for Pricing of Options. (2015). Hajipour, Mojtaba ; Malek, Alaeddin.
   In: Computational Economics.
   RePEc:kap:compec:v:45:y:2015:i:1:p:31-47.

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9. Demand Uncertainty, Development Timing and Leasehold Land Valuation: Empirical Testing of Real Options in Residential Real Estate Development. (2014). Yao, Huimin ; Pretorius, Frederik.
   In: Real Estate Economics.
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10. From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments. (2014). Liu, Zhenming ; Lam, Henry.
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    RePEc:arx:papers:1406.6084.

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11. The optimal-drift model: an accelerated binomial scheme. (2013). Muller, Stefanie ; Korn, Ralf.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:17:y:2013:i:1:p:135-160.

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12. Mixing Monte-Carlo and Partial Differential Equations for Pricing Options. (2013). Loeper, Gregoire ; Lipp, Tobias ; Pironneau, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-01558826.

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13. A robust tree method for pricing American options with CIR stochastic interest rate. (2013). Caramellino, Lucia ; Appolloni, Elisa ; Zanette, Antonino.
    In: Papers.
    RePEc:arx:papers:1305.0479.

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14. A closed-form solution to American options under general diffusion processes. (2012). Zhao, Jing ; Wong, Hoi Ying.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:5:p:725-737.

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15. A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. (2010). Li, Minqiang.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:13:y:2010:i:2:p:177-217.

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16. Numerical methods for Lévy processes. (2009). Reich, N. ; Hilber, N. ; Winter, C. ; Schwab, C..
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    RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500.

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17. A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes. (2009). Li, Minqiang.
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    RePEc:pra:mprapa:17348.

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18. A generalized complementarity approach to solving real option problems. (2008). Nagae, Takeshi ; Akamatsu, Takashi.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:6:p:1754-1779.

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19. Smooth convergence in the binomial model. (2007). Chang, Lo-Bin ; Palmer, Ken.
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20. Financial markets in continuous time. (2007). Dana, Rose-Anne ; Jeanblanc, Monique.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/5374.

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21. A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS. (2006). Maller, Ross A. ; Solomon, David H. ; Szimayer, Alex .
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:16:y:2006:i:4:p:613-633.

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22. Error estimates for binomial approximations of game options. (2006). Kifer, Yuri.
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23. Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule. (2003). Garcia, Diego.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:10:p:1855-1879.

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24. Efficient option valuation using trees. (2002). Herzel, Stefano ; Heath, David C..
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    RePEc:taf:apmtfi:v:9:y:2002:i:3:p:163-178.

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25. Parabolic ADI Methods for Pricing American Options on Two Stocks. (2002). Villeneuve, Stephane ; Zanette, Antonino.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:27:y:2002:i:1:p:121-149.

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26. American option pricing under GARCH by a Markov chain approximation. (2001). Simonato, Jean-Guy ; Duan, Jin-Chuan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:11:p:1689-1718.

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27. A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model. (1998). Das, Sanjiv.
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28. Pricing American-style securities using simulation. (1997). Glasserman, Paul ; Broadie, Mark.
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29. Recent Advances in Numerical Methods for Pricing Derivative Securities. (1996). Detemple, Jerome ; Broadie, Mark.
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