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Désiré Yannick Tangman · Study

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Désiré Yannick Tangman

7 works· latest 2018· 1 institutionscluster: provisionalORCID 0000-0001-5804-6632

h-index7

i107

Citations352

Works here7

07

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18

Most cited in this library

Numerical pricing of options using high-order compact finite difference schemes2007 · 86 citations
A fast high-order finite difference algorithm for pricing American options2007 · 68 citations
Exponential time integration and Chebychev discretisation schemes for fast pricing of options2007 · 53 citations
COS method for option pricing under a regime-switching model with time-changed Lévy processes2018 · 40 citations
Exponential time integration for fast finite element solutions of some financial engineering problems2008 · 39 citations

Works

7 shown

COS method for option pricing under a regime-switching model with time-changed Lévy processes

Quantitative Finance·2018·4 authors

40citations

High-order computational methods for option valuation under multifactor models

European Journal of Operational Research·2012·4 authors

31citations

A new radial basis functions method for pricing American options under Merton's jump-diffusion model

International Journal of Computer Mathematics·2012·3 authors

35citations

Exponential time integration for fast finite element solutions of some financial engineering problems

Journal of Computational and Applied Mathematics·2008·4 authors·Open access

39citations

A fast high-order finite difference algorithm for pricing American options

Journal of Computational and Applied Mathematics·2007·3 authors·Open access

68citations

Exponential time integration and Chebychev discretisation schemes for fast pricing of options

Applied Numerical Mathematics·2007·3 authors

53citations

Numerical pricing of options using high-order compact finite difference schemes

Journal of Computational and Applied Mathematics·2007·3 authors·Open access

86citations