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Tangman, D.Y., Gopaul, A., Bhuruth, M. (2008) Numerical pricing of options using high-order compact finite difference schemes. Journal of Computational and Applied Mathematics, 218 (2). 270-280 doi:10.1016/j.cam.2007.01.035

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Reference TypeJournal (article/letter/editorial)
TitleNumerical pricing of options using high-order compact finite difference schemes
JournalJournal of Computational and Applied Mathematics
AuthorsTangman, D.Y.Author
Gopaul, A.Author
Bhuruth, M.Author
Year2008 (September)Volume218
Issue2
PublisherElsevier BV
DOIdoi:10.1016/j.cam.2007.01.035Search in ResearchGate
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Mindat Ref. ID9495598Long-form Identifiermindat:1:5:9495598:9
GUID0
Full ReferenceTangman, D.Y., Gopaul, A., Bhuruth, M. (2008) Numerical pricing of options using high-order compact finite difference schemes. Journal of Computational and Applied Mathematics, 218 (2). 270-280 doi:10.1016/j.cam.2007.01.035
Plain TextTangman, D.Y., Gopaul, A., Bhuruth, M. (2008) Numerical pricing of options using high-order compact finite difference schemes. Journal of Computational and Applied Mathematics, 218 (2). 270-280 doi:10.1016/j.cam.2007.01.035
In(2008, September) Journal of Computational and Applied Mathematics Vol. 218 (2) Elsevier BV

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Thakoor, Nawdha, Tangman, Désiré Yannick, Bhuruth, Muddun (2014) Efficient and high accuracy pricing of barrier options under the CEV diffusion. Journal of Computational and Applied Mathematics, 259. 182-193 doi:10.1016/j.cam.2013.05.009
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Düring, Bertram, Fournié, Michel, Heuer, Christof (2014) High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. Journal of Computational and Applied Mathematics, 271. 247-266 doi:10.1016/j.cam.2014.04.016
Düring, Bertram, Fournié, Michel (2012) High-order compact finite difference scheme for option pricing in stochastic volatility models. Journal of Computational and Applied Mathematics, 236 (17). 4462-4473 doi:10.1016/j.cam.2012.04.017
Düring, Bertram, Pitkin, Alexander (2019) High-order compact finite difference scheme for option pricing in stochastic volatility jump models. Journal of Computational and Applied Mathematics, 355. 201-217 doi:10.1016/j.cam.2019.01.043
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Rambeerich, Nisha, Pantelous, Athanasios A. (2016) A high order finite element scheme for pricing options under regime switching jump diffusion processes. Journal of Computational and Applied Mathematics, 300. 83-96 doi:10.1016/j.cam.2015.12.019
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