Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
DOI10.1016/j.apnum.2020.02.004zbMath1444.91207arXiv1912.06809OpenAlexW3006534716MaRDI QIDQ1986143
Lynn Boen, Karel J. in 't Hout
Publication date: 7 April 2020
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.06809
American optionsoperator splitting methodspartial integro-differential complementarity problemtwo-asset Merton jump-diffusion model
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Jump processes on discrete state spaces (60J74)
Related Items (5)
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