Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature

DOI10.1016/j.cam.2017.03.032zbMath1415.91316OpenAlexW2606877559MaRDI QIDQ1676013

M. Fakharany, Vera N. Egorova, Rafael Company

Publication date: 3 November 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.03.032

zbMATH Keywords

numerical analysisjump-diffusion modelspartial-integro differential equationbivariate Gauss-Hermite quadraturetwo-asset option pricing

Mathematics Subject Classification ID

Related Items (4)

Mathematical modeling and computational methods ⋮ European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme ⋮ An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ A unified approach to solving parabolic Volterra partial integro-differential equations for a broad category of kernels: numerical analysis and computing

Uses Software

• Wesseling

Cites Work

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