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Общие темы
Clewlow L. and Strickland С. Implementing Derivatives Models. – Wiley, Chichester, 1998.
Press W. K, Teukolsky S. A., Vetterling W. T. and Flannery B. P. Numerical Recipes in C: The Art of Scientific Computing, 2nd edn. – Cambridge University Press, 1992.
Обработка деревьев
Cox J., Ross S. and Rubinstein M. Option Pricing: A Simplified Approach // Journal of Financial Economics, 7 (October 1979). – P. 229-264.
Figlewski, S. and Gao B. The Adaptive Mesh Model: A New Approach to Efficient Option Pricing // Journal of Financial Economics, 53 (1999). – P. 313-351
Hull J. and White A. The Use of the Control Variate Technique in Option Pricing // Journal of Financial and Quantitative Analysis, 23 (September 1988). – P. 237-251.
Rendleman R. and Bartter B. Two State Option Pricing // Journal of Finance, 34 (1979).-P. 1092-1110.
Метод Монте-Карло
Boyle P. P. Options: A Monte Carlo Approach // Journal of Financial Economics, 4 (1977). – P. 323-338.
Boyle P. P., BroadieM. and Glasserman P. Monte Carlo Methods for Security Pricing // Journal of Economic Dynamics and Control, 21 (1997). – P. 1267-1322.
BroadieM., Glasserman P. and Jain G. Enhances Monte Carlo Estimates for American Option Prices // Journal of Derivatives, 5 (Fall 1997). – P. 25-44.
Конечно-разностные методы
HullJ. and White A. Valuing Derivative Securities Usng the Explicit Finite Difference Method // Journal of Financial and Quantitative Analysis, 25 (March 1990). – P. 87-100.
Wilmott P. Derivatives: The Theory and Practice of Financial Engineering. – Wiley, Chichester, 1998.
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