Numerical solution of two asset jump diffusion models for option valuation

DOI10.1016/j.apnum.2007.02.005zbMath1136.91422OpenAlexW2158159144MaRDI QIDQ928833

Simon S. Clift, Peter A. I. Forsyth

Publication date: 11 June 2008

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2007.02.005

zbMATH Keywords

option pricingfinite differenceAmerican optionpartial integro-differential equationjump diffusiontwo-asset

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) Numerical methods for partial differential equations, boundary value problems (65N99)

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