An ETD method for multi-asset American option pricing under jump-diffusion model
In this paper, we propose a numerical method for American multi-asset options under jump-diffusion model based on the combination of the exponential time differencing (ETD) technique for the differential operator and Gauss-Hermite quadrature for the integral term. In order to simplify the computatio...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Data de publicação: | 2023 |
| País: | España |
| Recursos: | Universidad de Cantabria (UC) |
| Repositório: | UCrea Repositorio Abierto de la Universidad de Cantabria |
| Idioma: | inglês |
| OAI Identifier: | oai:repositorio.unican.es:10902/28969 |
| Acesso em linha: | https://hdl.handle.net/10902/28969 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Exponential time differencing Jump-diffusion model Multi-asset option pricing Multivariate Gauss-Hermite quadrature Partial-integro differential equation |
| Resumo: | In this paper, we propose a numerical method for American multi-asset options under jump-diffusion model based on the combination of the exponential time differencing (ETD) technique for the differential operator and Gauss-Hermite quadrature for the integral term. In order to simplify the computational stencil and improve characteristics of the ETD-scheme mixed derivative eliminating transformation is applied. The results are compared with recently proposed methods. |
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