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20072026
most citedAn iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation

17 citations · 94 across the 49 of their papers we have counts for

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q-fin.PR2015

Comparison of the analytical approximation formula and Newton's method for solving a class of nonlinear Black-Scholes parabolic equations

Karol Duris, Shih-Hau Tan, Choi-Hong Lai +1

Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described…