Heidarpour-Dehkordi, Vida; Christara, Christina C. Spread option pricing using ADI methods. (English) Zbl 1397.65138 Int. J. Numer. Anal. Model. 15, No. 3, 353-369 (2018). MSC: 65M06 91G60 91G20 35Q91 PDFBibTeX XMLCite \textit{V. Heidarpour-Dehkordi} and \textit{C. C. Christara}, Int. J. Numer. Anal. Model. 15, No. 3, 353--369 (2018; Zbl 1397.65138) Full Text: Link
Li, Minqiang A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes. (English) Zbl 1231.91442 Rev. Deriv. Res. 13, No. 2, 177-217 (2010). MSC: 91G20 91G60 65D05 41A05 PDFBibTeX XMLCite \textit{M. Li}, Rev. Deriv. Res. 13, No. 2, 177--217 (2010; Zbl 1231.91442) Full Text: DOI Link