An ETD method for multi-asset American option pricing under jump-diffusion model

被引：1

作者：

Company, Rafael ^{[1
]}

Egorova, Vera N. ^{[2
]}

Jodar, Lucas ^{[1
]}

机构：

[1] Univ Politecn Valencia, Inst Matemat Multidisciplinar, Valencia, Spain

[2] Univ Cantabria, Dept Matemat Aplicada & Ciencias Comp, Santander, Spain

来源：

MATHEMATICAL METHODS IN THE APPLIED SCIENCES | 2023年 / 46卷 / 09期

关键词：

exponential time differencing; jump-diffusion model; multi-asset option pricing; multivariate Gauss-Hermite quadrature; partial-integro differential equation; FINITE-DIFFERENCE SCHEME; PENALTY METHOD; VALUATION;

D O I：

10.1002/mma.9125

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we propose a numerical method for American multi-asset options under jump-diffusion model based on the combination of the exponential time differencing (ETD) technique for the differential operator and Gauss-Hermite quadrature for the integral term. In order to simplify the computational stencil and improve characteristics of the ETD-scheme mixed derivative eliminating transformation is applied. The results are compared with recently proposed methods.

引用

页码：10332 / 10347

页数：16

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