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dc.contributor.authorFakharany M.en_US
dc.contributor.authorEgorova V.en_US
dc.contributor.authorCompany R.en_US
dc.date.accessioned2017-06-22T08:44:24Z
dc.date.available2017-06-22T08:44:24Z
dc.date.issued2017-04-19
dc.identifier.issn0377-0427
dc.identifier.urihttp://hdl.handle.net/20.500.11824/688
dc.description.abstractIn 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 driven by jump-diffusion models. Firstly, the mixed derivative term is removed using a suitable transformation avoiding numerical drawbacks such as slow convergence and inaccuracy due to the appearance of spurious oscillations. Unlike the more traditional truncation approach we use 2D Gauss–Hermite quadrature with the additional advantage of saving computational cost. The explicit finite difference scheme becomes consistent, conditionally stable and positive. European and American option cases are treated. Numerical results are illustrated and analysed with experiments and comparisons with other well recognized methods.en_US
dc.description.sponsorshipFP7-PEOPLE-2012-ITN program under Grant Agreement Number 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) Ministerio de Economía y Competitividad Spanish grant MTM2013-41765-Pen_US
dc.formatapplication/pdfen_US
dc.language.isoengen_US
dc.publisherJournal of Computational and Applied Mathematicsen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/es/en_US
dc.subjectTwo-asset option pricingen_US
dc.subjectPartial-integro differential equationen_US
dc.subjectJump-diffusion modelsen_US
dc.subjectNumerical analysisen_US
dc.subjectBivariate Gauss–Hermite quadratureen_US
dc.titleNumerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadratureen_US
dc.typeinfo:eu-repo/semantics/articleen_US
dc.typeinfo:eu-repo/semantics/acceptedVersionen_US
dc.identifier.doihttps://doi.org/10.1016/j.cam.2017.03.032
dc.relation.publisherversionhttps://doi.org/10.1016/j.cam.2017.03.032en_US


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