Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (Q1676013)
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scientific article; zbMATH DE number 6802870
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature |
scientific article; zbMATH DE number 6802870 |
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Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature (English)
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3 November 2017
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two-asset option pricing
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partial-integro differential equation
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jump-diffusion models
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numerical analysis
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bivariate Gauss-Hermite quadrature
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