An ETD method for multi‐asset American option pricing under jump‐diffusion model (Q6143557)

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scientific article; zbMATH DE number 7783861
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An ETD method for multi‐asset American option pricing under jump‐diffusion model
scientific article; zbMATH DE number 7783861

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    An ETD method for multi‐asset American option pricing under jump‐diffusion model (English)
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    5 January 2024
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    exponential time differencing
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    jump-diffusion model
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    multi-asset option pricing
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    multivariate Gauss-Hermite quadrature
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    partial-integro differential equation
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