Numerical valuation of two-asset options under jump diffusion models using Gauss–Hermite quadrature
نویسندگان
چکیده
منابع مشابه
Numerical Solution of Two Asset Jump Diffusion Models for Option Valuation
Under the assumption that two financial assets evolve by correlated finite activity jumps superimposed on correlated Brownian motion, the value of a contingent claim written on these two assets is given by a two dimensional parabolic partial integro-differential equation (PIDE). An implicit, finite difference method is derived in this paper. This approach avoids a dense linear system solution b...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2018
ISSN: 0377-0427
DOI: 10.1016/j.cam.2017.03.032