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International journal of theoretical and applied finance
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ECONIS (ZBW)
15
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Regime-switching recombining tree for option pricing
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 479-499
Persistent link: https://www.econbiz.de/10008904355
Saved in:
2
Recombining tree for regime-switching model : algorithm and weak convergence
Liu, Rui Hua
- In:
Stochastic analysis, stochastic systems, and …
,
(pp. 193-214)
.
2011
Persistent link: https://www.econbiz.de/10009271668
Saved in:
3
A finite-horizon optimal investment and consumption problem using regime-switching models
Liu, Rui Hua
- In:
International journal of theoretical and applied finance
17
(
2014
)
4
,
pp. 1-18
Persistent link: https://www.econbiz.de/10010391500
Saved in:
4
Numerical schemes for option pricing in regime-switching jump diffusion models
Florescu, Ionuţ
;
Liu, Rui Hua
;
Mariani, Maria Cristina
; …
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-25
Persistent link: https://www.econbiz.de/10010243624
Saved in:
5
A recombining tree method for option pricing with state-dependent switching rates
Jiang, J. X.
;
Liu, Rui Hua
;
Nguyen, D.
- In:
International journal of theoretical and applied finance
19
(
2016
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011455022
Saved in:
6
Optimal asset allocation with stochastic interest rates in regime-switching models
Ye, C.
;
Liu, Rui Hua
;
Ren, D.
- In:
International journal of theoretical and applied finance
21
(
2018
)
5
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011903782
Saved in:
7
Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model
Nwankwo, Chinonso I.
;
Dai, Weizhong
;
Liu, Rui Hua
- In:
Computational economics
62
(
2023
)
3
,
pp. 817-854
Persistent link: https://www.econbiz.de/10014382839
Saved in:
8
Pricing exotic options with L-stable Padé schemes
Khaliq, Abdul Q. M.
;
Voss, David A.
;
Yousuf, Muhammad
- In:
Journal of banking & finance
31
(
2007
)
11
,
pp. 3438-3461
Persistent link: https://www.econbiz.de/10003577471
Saved in:
9
A parallel time stepping approach using mesh-free approximations for pricing options with non-smooth payouts
Khaliq, Abdul Q. M.
;
Voss, David A.
;
Fasshauer, Greg E.
- In:
Journal of risk
10
(
2007/08
)
4
,
pp. 135-142
Persistent link: https://www.econbiz.de/10003761354
Saved in:
10
COS method for option pricing under a regime-switching model with time-changed Lévy processes
Tour, G.
;
Thakoor, N.
;
Khaliq, Abdul Q. M.
;
Tangman, D. Y.
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 673-692
Persistent link: https://www.econbiz.de/10011906458
Saved in:
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