| Autor: |
Rafael Company, Vera N. Egorova, Lucas Jódar |
| Přispěvatelé: |
Universidad de Cantabria |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
|
| Zdroj: |
Mathematical Methods in the Applied Sciences, 2023, 46(9), 10332-10347 |
| Popis: |
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. Ministerio de Ciencia, Innovación y Universidades, Grant/Award Number: MTM2017- 89664-P; Ministerio de Economía y Competitividad, Grant/Award Number: PID2019-107685RB-I00 |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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