Dingeç, Kemal Dinçer Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions. (English) Zbl 07474782 Int. J. Comput. Math. 96, No. 12, 2441-2460 (2019). MSC: 91G60 PDF BibTeX XML Cite \textit{K. D. Dingeç}, Int. J. Comput. Math. 96, No. 12, 2441--2460 (2019; Zbl 07474782) Full Text: DOI OpenURL
Ma, Jingtang; Tang, Hongji; Zhu, Song-Ping Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates. (English) Zbl 1390.91321 Int. J. Comput. Math. 95, No. 2, 341-360 (2018). MSC: 91G60 65C40 65M06 91G20 PDF BibTeX XML Cite \textit{J. Ma} et al., Int. J. Comput. Math. 95, No. 2, 341--360 (2018; Zbl 1390.91321) Full Text: DOI Link OpenURL
Liu, R. H.; Nguyen, D. A tree approach to options pricing under regime-switching jump diffusion models. (English) Zbl 1335.91106 Int. J. Comput. Math. 92, No. 12, 2575-2595 (2015). MSC: 91G60 60J75 60H30 60H35 91B70 91G20 91G80 93E11 93E20 PDF BibTeX XML Cite \textit{R. H. Liu} and \textit{D. Nguyen}, Int. J. Comput. Math. 92, No. 12, 2575--2595 (2015; Zbl 1335.91106) Full Text: DOI OpenURL
Yousuf, M.; Khaliq, A. Q. M.; Liu, R. H. Pricing American options under multi-state regime switching with an efficient \(L\)-stable method. (English) Zbl 1386.91168 Int. J. Comput. Math. 92, No. 12, 2530-2550 (2015). MSC: 91G60 65M06 65M12 65M15 91G20 60G40 PDF BibTeX XML Cite \textit{M. Yousuf} et al., Int. J. Comput. Math. 92, No. 12, 2530--2550 (2015; Zbl 1386.91168) Full Text: DOI OpenURL
Bieliauskienė, Eugenija; Šiaulys, Jonas Gerber-Shiu function for the discrete inhomogeneous claim case. (English) Zbl 1255.91176 Int. J. Comput. Math. 89, No. 12, 1617-1630 (2012). MSC: 91B30 60G50 PDF BibTeX XML Cite \textit{E. Bieliauskienė} and \textit{J. Šiaulys}, Int. J. Comput. Math. 89, No. 12, 1617--1630 (2012; Zbl 1255.91176) Full Text: DOI OpenURL