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

DOI10.1016/J.CAM.2017.03.032MaRDI QIDQ1676013zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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)

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• Numerical solution of two asset jump diffusion models for option valuation
• Operator splitting methods for American option pricing.
• Option pricing when underlying stock returns are discontinuous
• Positive finite difference schemes for a partial integro-differential option pricing model
• Removing the correlation term in option pricing Heston model: numerical analysis and computing
• Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
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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
• Numerical solution of two asset jump diffusion models for option valuation
• Wavelet method for option pricing under the two-asset Merton jump-diffusion model.
• 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

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