An ETD method for multi‐asset American option pricing under jump‐diffusion model (Q6143557)
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scientific article; zbMATH DE number 7783861
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An ETD method for multi‐asset American option pricing under jump‐diffusion model |
scientific article; zbMATH DE number 7783861 |
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An ETD method for multi‐asset American option pricing under jump‐diffusion model (English)
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5 January 2024
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exponential time differencing
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jump-diffusion model
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multi-asset option pricing
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multivariate Gauss-Hermite quadrature
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partial-integro differential equation
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