| 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 |
| 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 |
| 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 | 21 | 2018 |
| 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 |
| 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 |
| Localized radial basis functions for no-arbitrage pricing of options under stochastic alpha–beta–rho dynamics N Thakoor The ANZIAM Journal 63 (2), 203-227, 2021 | 5 | 2021 |
| New local radial point interpolation-FD methods for solving fractional diffusion and damped-wave problems N Thakoor, M Bhuruth Journal of Computational Science 36, 101026, 2019 | 5 | 2019 |
| A New Howard–Crandall–Douglas Algorithm for the American Option Problem in Computational Finance N Thakoor, D Kumar Behera, DY Tangman, M Bhuruth Computational Intelligence in Data Mining: Proceedings of the International …, 2019 | 5 | 2019 |
| Spectrally accurate option pricing under the time-fractional Black–Scholes model G Tour, N Thakoor, DY Tangman The ANZIAM Journal 63 (2), 228-248, 2021 | 4 | 2021 |
| Numerical pricing of financial derivatives using Jain’s high-order compact scheme N Thakoor, Y Tangman, M Bhuruth Mathematical Sciences 6, 1-16, 2012 | 4 | 2012 |
| High-order Gaussian RBF-FD methods for real estate index derivatives with stochastic volatility J Narsoo, N Thakoor, YD Tangman, M Bhuruth Engineering Analysis with Boundary Elements 146, 869-879, 2023 | 3 | 2023 |
| Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems N Thakoor Computers & Mathematics with Applications 78 (12), 3770-3789, 2019 | 3 | 2019 |
| A non-oscillatory scheme for the one-dimensional SABR model N Thakoor Pertanika J. Sci. Technol 25, 1291-1306, 2017 | 3 | 2017 |
| A sixth-order CEV option valuation algorithm on non-uniform spatial grids N Thakoor International Conference on Computational Science and Its Applications, 435-449, 2022 | 2 | 2022 |
| Howard’s algorithm for high-order approximations of American options under jump-diffusion models N Thakoor, DK Behera, DY Tangman, M Bhuruth International Journal of Data Science and Analytics 10 (2), 193-203, 2020 | 2 | 2020 |
Désiré Yannick TangmanUniversity of MauritiusVerified email at uom.ac.mu
