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Numerical valuation of two-asset options under jump diffusion models using Gauss Hermite quadrature

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Numerical valuation of two-asset options under jump diffusion models using Gauss Hermite quadrature

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El-Fakharany, M.; Egorova, V.; Company Rossi, R. (2018). Numerical valuation of two-asset options under jump diffusion models using Gauss Hermite quadrature. Journal of Computational and Applied Mathematics. 330:822-834. https://doi.org/10.1016/j.cam.2017.03.032

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/121416

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Title: Numerical valuation of two-asset options under jump diffusion models using Gauss Hermite quadrature
Author: El-Fakharany, Mohamed Egorova, Vera Company Rossi, Rafael
UPV Unit: Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
[EN] In this work a finite difference approach together with a bivariate Gauss¿Hermite quadrature technique is developed for partial-integro differential equations related to option pricing problems on two underlying ...[+]
Subjects: Two-asset option pricing , Partial-integro differential equation , Jump-diffusion models , Numerical analysis , Bivariate Gauss Hermite quadrature
Copyrigths: Reconocimiento - No comercial - Sin obra derivada (by-nc-nd)
Source:
Journal of Computational and Applied Mathematics. (issn: 0377-0427 )
DOI: 10.1016/j.cam.2017.03.032
Publisher:
Elsevier
Publisher version: http://doi.org/10.1016/j.cam.2017.03.032
Project ID:
info:eu-repo/grantAgreement/MINECO//MTM2013-41765-P/ES/METODOS COMPUTACIONALES PARA ECUACIONES DIFERENCIALES ALEATORIAS: TEORIA Y APLICACIONES/
Thanks:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) ...[+]
Type: Artículo

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