Numerical Valuation of European Options Under Two-Asset Infinite-Activity Exponential Lévy Models

DOI10.1080/1350486X.2026.2715128MaRDI QIDQ7410574zbMATH OpenFDO

Authors Massimiliano Moda, Karel J. in 't Hout, Michèle Vanmaele, Fred Espen Benth

Publication date 2026

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486X.2026.2715128

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods for discrete and fast Fourier transforms (65T50) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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