Browsing Statistical Physics by Subject "Bivariate Gauss–Hermite quadrature"
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Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
(2017-04-19)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 asset ...