Operator splitting schemes for the two-asset Merton jump-diffusion model

DOI10.1016/j.cam.2019.06.025zbMath1459.65138arXiv1901.03839OpenAlexW2963353039WikidataQ127657741 ScholiaQ127657741MaRDI QIDQ2223797

Lynn Boen, Karel J. in 't Hout

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.03839

zbMATH Keywords

operator splitting schemespartial integro-differential equationstwo-asset Merton jump-diffusion model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Integro-partial differential equations (45K05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50) Method of lines for boundary value problems involving PDEs (65N40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Integro-partial differential equations (35R09) Jump processes on discrete state spaces (60J74)

Related Items (6)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ An operator splitting method for multi-asset options with the Feynman-Kac formula ⋮ An efficient variable step-size method for options pricing under jump-diffusion models with nonsmooth payoff function ⋮ Operator splitting schemes for American options under the two-asset Merton jump-diffusion model ⋮ European rainbow option values under the two-asset Merton jump-diffusion model ⋮ A posteriori error control and adaptivity for the IMEX BDF2 method for PIDEs with application to options pricing models

Uses Software

• BENCHOP

Cites Work

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