| Publication | Date of Publication | Type |
|---|
On the management of interconnected wildlife populations
Natural Resource Modeling | 2024-06-07 | Paper |
Pricing stock loans under the Lèvy-\(\alpha\)-stable process with jumps
Networks and Heterogeneous Media | 2024-02-02 | Paper |
AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS
The ANZIAM Journal | 2023-09-20 | Paper |
On a class of estimation and test for long memory
Physica A | 2022-07-01 | Paper |
Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
Physica A | 2022-06-24 | Paper |
Pricing credit default swaps with Parisian and Parasian default mechanics
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
Pricing foreign exchange options under a hybrid Heston-Cox-Ingersoll-Ross model with regime switching
IMA Journal of Management Mathematics | 2022-03-22 | Paper |
Randomized Parallel Algorithm for Maximizing Nonsubmodular Function Subject to Cardinality Constraint
Asia-Pacific Journal of Operational Research | 2022-02-01 | Paper |
The inertial relaxed algorithm with Armijo-type line search for solving multiple-sets split feasibility problem
Journal of Inequalities and Applications | 2022-01-26 | Paper |
A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean
Mathematics and Financial Economics | 2021-05-05 | Paper |
Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
Computers & Mathematics with Applications | 2020-10-12 | Paper |
Stock loan valuation under a stochastic interest rate model
Computers & Mathematics with Applications | 2020-10-11 | Paper |
An explicit closed-form analytical solution for European options under the CGMY model
Communications in Nonlinear Science and Numerical Simulation | 2020-10-07 | Paper |
A Monte-Carlo based approach for pricing credit default swaps with regime switching
Computers & Mathematics with Applications | 2020-02-05 | Paper |
Pricing European call options under a hard-to-borrow stock model
Applied Mathematics and Computation | 2019-11-29 | Paper |
An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model.
Applications of Mathematics | 2019-08-05 | Paper |
A HODIE finite difference scheme for pricing American options
Advances in Difference Equations | 2019-03-04 | Paper |
Option pricing under the KoBol model
The ANZIAM Journal | 2018-11-16 | Paper |
Pricing credit default swaps under a multi-scale stochastic volatility model
Physica A | 2018-11-13 | Paper |
Numerically pricing American options under the generalized mixed fractional Brownian motion model
Physica A | 2018-11-13 | Paper |
The pricing of credit default swaps under a generalized mixed fractional Brownian motion
Physica A | 2018-09-20 | Paper |
Pricing American-style Parisian up-and-out call options
European Journal of Applied Mathematics | 2018-07-13 | Paper |
Pricing Parisian and Parasian options analytically
Journal of Economic Dynamics and Control | 2016-10-05 | Paper |
An inverse finite element method for pricing American options
Journal of Economic Dynamics and Control | 2016-09-22 | Paper |
A predictor-corrector approach for pricing American options under the finite moment log-stable model
Applied Numerical Mathematics | 2015-09-07 | Paper |
Pricing Parisian down-and-in options
Applied Mathematics Letters | 2015-05-15 | Paper |
Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
Quarterly of Applied Mathematics | 2014-09-19 | Paper |
Pricing perpetual American puts under multi-scale stochastic volatility
Asymptotic Analysis | 2012-12-03 | Paper |
SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
International Journal of Theoretical and Applied Finance | 2012-03-13 | Paper |
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
Computers & Mathematics with Applications | 2011-12-18 | Paper |
Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
Applied Mathematics Letters | 2011-07-11 | Paper |
A spectral-collocation method for pricing perpetual American puts with stochastic volatility
Applied Mathematics and Computation | 2011-06-27 | Paper |
Optimal exercise price of American options near expiry
The ANZIAM Journal | 2010-11-24 | Paper |
A new analytical approximation for European puts with stochastic volatility
Applied Mathematics Letters | 2010-05-21 | Paper |
