Zobrazeno 1 - 10
of 21
pro vyhledávání: '"Nawdha Thakoor"'
Publikováno v:
Engineering Analysis with Boundary Elements. 146:869-879
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::63e08361b1d54c037f6eb5299f62c3a2
https://doi.org/10.1016/j.enganabound.2022.11.015
https://doi.org/10.1016/j.enganabound.2022.11.015
Publikováno v:
ANZIAM Journal. 63:228-248
We propose a Legendre–Laguerre spectral approximation to price the European and double barrier options in the time-fractional framework. By choosing an appropriate basis function, the spectral discretization is used for the approximation of the spa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec9c08b66b533aea94cde1fa02c826da
https://doi.org/10.21914/anziamj.v63.15412
https://doi.org/10.21914/anziamj.v63.15412
Autor:
Nawdha Thakoor
Publikováno v:
ANZIAM Journal. 63:203-227
Closed-form explicit formulas for implied Black–Scholes volatilities provide a rapid evaluation method for European options under the popular stochastic alpha–beta–rho (SABR) model. However, it is well known that computed prices using the impli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5f0403efef8159cc0e3b2e9e06b49911
https://doi.org/10.21914/anziamj.v63.15419
https://doi.org/10.21914/anziamj.v63.15419
Autor:
Nawdha Thakoor, Dhiren Kumar Behera
Publikováno v:
ICT Systems and Sustainability ISBN: 9789811952203
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a722fd5f4c77259dcc1795a5d383c5ef
https://doi.org/10.1007/978-981-19-5221-0_21
https://doi.org/10.1007/978-981-19-5221-0_21
Publikováno v:
The ANZIAM Journal. 63:228-248
We propose a Legendre–Laguerre spectral approximation to price the European and double barrier options in the time-fractional framework. By choosing an appropriate basis function, the spectral discretization is used for the approximation of the spa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::52c533c2aef94fd1078f93fe5bac74aa
https://doi.org/10.1017/s1446181121000286
https://doi.org/10.1017/s1446181121000286
Autor:
Nawdha Thakoor
Publikováno v:
Computational Science and Its Applications – ICCSA 2022 Workshops ISBN: 9783031105357
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f530b3c0e6607faba243ed0e90dde865
https://doi.org/10.1007/978-3-031-10536-4_29
https://doi.org/10.1007/978-3-031-10536-4_29
Autor:
Nawdha Thakoor
Publikováno v:
International Journal of Financial Markets and Derivatives. 9:59
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::abe337c1babd46cd763c50b226fcbb61
https://doi.org/10.1504/ijfmd.2023.129086
https://doi.org/10.1504/ijfmd.2023.129086
Autor:
Nawdha Thakoor
Publikováno v:
Computers & Mathematics with Applications. 78:3770-3789
The radial point interpolation method is increasingly being applied for the numerical solution of partial differential equations in different fields. Most implementations in the literature for obtaining the matrix coefficients make use of numerical a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cdd59912f8e162660dcd7ebfeae13879
https://doi.org/10.1016/j.camwa.2019.06.005
https://doi.org/10.1016/j.camwa.2019.06.005
Publikováno v:
Journal of Computational Science. 35:25-43
In this paper, we develop a high-order radial basis function finite difference (RBF-FD) approximation on a five-point stencil for pricing options under the regime-switching stochastic volatility models with log-normal and contemporaneous jumps (SVCJ)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f2974b8dd18ca56c3b9673afe48cbae8
https://doi.org/10.1016/j.jocs.2019.05.007
https://doi.org/10.1016/j.jocs.2019.05.007
Publikováno v:
International Journal of Data Science and Analytics. 10:193-203
Data-driven approaches to price computations of financial options are gaining in importance relative to methods based on numerical solutions of the pricing equations. Comparisons between artificial neural networks and the Black–Scholes pricing mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1a4d77746e8d3899da154c9be46f0e39
https://doi.org/10.1007/s41060-018-00173-x
https://doi.org/10.1007/s41060-018-00173-x