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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 dynamic, volume-weighted average price approach based on the fast fourier transform algorithm
Li, Handong, (2013)
Derivatives algorithms
Hyer, Tom, (2010)
DERIVATIVES ALGORITHMS:Volume 1: Bones
Hyer, Tom,
PASSPORT TO SUCCESS - Unveiling a new class of options that offer principal protection to actively managed funds.
Hyer, Tom, (1997)