Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
DOI10.1016/J.CAM.2017.03.032zbMATH Open1415.91316OpenAlexW2606877559MaRDI QIDQ1676013FDOQ1676013
Authors: M. Fakharany, V. N. Egorova, R. 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
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numerical analysisjump-diffusion modelspartial-integro differential equationbivariate Gauss-Hermite quadraturetwo-asset option pricing
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Approximate quadratures (41A55) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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Cited In (9)
- An ETD method for multi‐asset American option pricing under jump‐diffusion model
- An efficient and robust numerical method for option prices in a two-asset jump-diffusion model
- European option valuation under the Bates PIDE in finance: a numerical implementation of the Gaussian scheme
- Wavelet method for option pricing under the two-asset Merton jump-diffusion model.
- Numerical solution of two asset jump diffusion models for option valuation
- A unified approach to solving parabolic Volterra partial integro-differential equations for a broad category of kernels: numerical analysis and computing
- Mathematical modeling and computational methods
- Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets.
- A reduced-order model based on integrated radial basis functions with partition of unity method for option pricing under jump-diffusion models
Uses Software
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