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
收藏
页码：10332 / 10347
页数：16
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