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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)
A data-driven deep learning approach for options market making
Lai, Qianhui, (2023)
Derivatives algorithms
Hyer, Tom, (2010)
Derivatives algorithms : V. 1: Bones
Hyer, Tom, (2016)
Derivatives algorithms : Volume 1: Bones