2 papers
math.NA2019
Operator splitting schemes for American options under the two-asset Merton jump-diffusion model
Lynn Boen, Karel J. in 't Hout
This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-styl…
math.NA2019
Operator splitting schemes for the two-asset Merton jump-diffusion model
Lynn Boen, Karel J. in 't Hout
This paper deals with the numerical solution of the two-dimensional time-dependent Merton partial integro-differential equation (PIDE) for the values of rainbow options under the t…