The Riccati Equation in Mathematical Finance. - Phelim P. Boyle; W. Tian; Fred Guan (J. Symb. Comput., 2002)

An improved simulation method for pricing high-dimensional American derivatives. - Phelim P. Boyle; Adam W. Kolkiewicz; Ken Seng Tan (Math. Comput. Simul., 2003)