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Optimal liquidation under stochastic price impact
Barger, Weston, (2019)
An efficient grid lattice algorithm for pricing American-style options
Liu, Zhongkai, (2016)
Algorithmic market making for options
Baldacci, Bastien, (2021)
Derivatives algorithms
Hyer, Tom, (2010)
Derivatives algorithms : V. 1: Bones
Hyer, Tom, (2016)
Derivatives algorithms : Volume 1: Bones