| Numerical pricing of options using high-order compact finite difference schemes DY Tangman, A Gopaul, M Bhuruth Journal of Computational and Applied Mathematics 218 (2), 270-280, 2008 | 111 | 2008 |
| A fast high-order finite difference algorithm for pricing American options DY Tangman, A Gopaul, M Bhuruth Journal of Computational and Applied Mathematics 222 (1), 17-29, 2008 | 99 | 2008 |
| Exponential time integration and Chebychev discretisation schemes for fast pricing of options DY Tangman, A Gopaul, M Bhuruth Applied Numerical Mathematics 58 (9), 1309-1319, 2008 | 73 | 2008 |
| Exponential time integration for fast finite element solutions of some financial engineering problems N Rambeerich, DY Tangman, A Gopaul, M Bhuruth Journal of Computational and Applied Mathematics 224 (2), 668-678, 2009 | 43 | 2009 |
| COS method for option pricing under a regime-switching model with time-changed Lévy processes G Tour, N Thakoor, AQM Khaliq, DY Tangman Quantitative Finance 18 (4), 673-692, 2018 | 39 | 2018 |
| High-order computational methods for option valuation under multifactor models N Rambeerich, DY Tangman, MR Lollchund, M Bhuruth European Journal of Operational Research 224 (1), 219-226, 2013 | 38 | 2013 |
| A new radial basis functions method for pricing American options under Merton's jump-diffusion model AAEF Saib, DY Tangman, M Bhuruth International Journal of Computer Mathematics 89 (9), 1164-1185, 2012 | 35 | 2012 |
| Efficient and high accuracy pricing of barrier options under the CEV diffusion N Thakoor, DY Tangman, M Bhuruth Journal of Computational and Applied Mathematics 259, 182-193, 2014 | 25 | 2014 |
| A new fourth-order numerical scheme for option pricing under the CEV model N Thakoor, DY Tangman, M Bhuruth Applied Mathematics Letters 26 (1), 160-164, 2013 | 24 | 2013 |
| Fast simplified approaches to Asian option pricing DY Tangman, AAI Peer, N Rambeerich, M Bhuruth The Journal of Computational Finance 14 (4), 3, 2011 | 23 | 2011 |
| RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility N Thakoor, DY Tangman, M Bhuruth Engineering Analysis with Boundary Elements 92, 207-217, 2018 | 20 | 2018 |
| A high-order finite difference method for option valuation MJ Dilloo, DY Tangman Computers & Mathematics with Applications 74 (4), 652-670, 2017 | 20 | 2017 |
| A high-order RBF-FD method for option pricing under regime-switching stochastic volatility models with jumps G Tour, N Thakoor, DY Tangman, M Bhuruth Journal of Computational Science 35, 25-43, 2019 | 19 | 2019 |
| Numerical pricing of American options under infinite activity Lévy processes N Rambeerich, DY Tangman, M Bhuruth Journal of Futures Markets 31 (9), 809-829, 2011 | 14 | 2011 |
| Fast valuation of CEV American options N Thakoor, DY Tangman, M Bhuruth Wilmott 2015 (75), 54-61, 2015 | 13 | 2015 |
| A spectral element method for option pricing under regime-switching with jumps G Tour, N Thakoor, J Ma, DY Tangman Journal of Scientific Computing 83 (3), 61, 2020 | 10 | 2020 |
| Fast approximations of bond option prices under CKLS models DY Tangman, N Thakoor, K Dookhitram, M Bhuruth Finance Research Letters 8 (4), 206-212, 2011 | 8 | 2011 |
| On some finite difference algorithms for pricing American options and their implementation in mathematica F Saib, YD Tangman, N Thakoor, M Bhuruth Proceedings of the 11th International Conference on Computational and …, 2011 | 8 | 2011 |
| A spectral approach to pricing of arbitrage-free SABR discrete barrier options N Thakoor, DY Tangman, M Bhuruth Computational Economics 54 (3), 1085-1111, 2019 | 6 | 2019 |
| Efficient conservative second-order central-upwind schemes for option-pricing problems O Bhatoo, AAI Peer, E Tadmor, D Tangman, AA El Faidal Saib Journal of Computational Finance 22 (5), 2019 | 5 | 2019 |
