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Fast approximations of bond option prices under CKLS models

Tangman, D. Y.; Thakoor, N.; Dookhitram, K.; Bhuruth, M. - In: Finance research letters 8 (2011) 4, pp. 206-212

Persistent link: https://www.econbiz.de/10009425850

A parallel time stepping approach using mesh-free approximations for pricing options with non-smooth payouts

Khaliq, Abdul Q. M.; Voss, David A.; Fasshauer, Greg E. - In: Journal of risk 10 (2007/08) 4, pp. 135-142

Persistent link: https://www.econbiz.de/10003761354

New numerical scheme for pricing American option with regime-switching

Khaliq, Abdul Q. M.; Liu, Rui Hua - In: International journal of theoretical and applied finance 12 (2009) 3, pp. 319-340

Persistent link: https://www.econbiz.de/10003867406

Pricing exotic options with L-stable Padé schemes

Khaliq, Abdul Q. M.; Voss, David A.; Yousuf, Muhammad - In: Journal of banking & finance 31 (2007) 11, pp. 3438-3461

Persistent link: https://www.econbiz.de/10003577471

New Numerical Scheme for Pricing American Option with Regime-Switching

Khaliq, Abdul Q. M. - 2010

This paper is concerned with regime-switching American option pricing. We develop new numerical schemes by extending the penalty method approach and by employing the θ-method. With regime-switching, American option prices satisfy a system of m free boundary value problems, where m is the number...

Persistent link: https://www.econbiz.de/10013150059

Pricing American option using a modified fractional black-scholes model under multi-state regime switching

Yousuf, M.; Khaliq, Abdul Q. M. - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-21

Persistent link: https://www.econbiz.de/10014497295

Fast simplified approaches to Asian option pricing

Tangman, D. Y.; Peer, A. A. I.; Rambeerich, N.; Bhuruth, M. - In: The journal of computational finance 14 (2010/11) 4, pp. 3-36

Persistent link: https://www.econbiz.de/10009241264

High-order computational methods for option valuation under multifactor models

Rambeerich, N.; Tangman, D. Y.; Lollchund, M. R.; … - In: European journal of operational research : EJOR 224 (2013) 1, pp. 219-226

Persistent link: https://www.econbiz.de/10009677905

A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach

Khaliq, A. Q. M.; Voss, D. A.; Kazmi, S. H. K. - In: Journal of banking & finance 30 (2006) 2, pp. 489-502

Persistent link: https://www.econbiz.de/10003291300