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

zbMATH Keywords

American optionsoperator splitting methodspartial integro-differential complementarity problemtwo-asset Merton jump-diffusion model

Mathematics Subject Classification ID

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)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model ⋮ A second-order ADI method for pricing options under fractional regime-switching models ⋮ Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization

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