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math.NA2026
Numerical valuation of European options under two-asset infinite-activity exponential Lévy models
Massimiliano Moda, Karel J. in 't Hout, Michèle Vanmaele +1
We propose a numerical method for the valuation of European-style options under two-asset infinite-activity exponential Lévy models. Our method extends the effective approach deve…
math.NA2026
Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps
Mustapha Regragui, Karel J. in 't Hout, Michèle Vanmaele +1
This paper concerns the numerical valuation of swing options with discrete action times under a linear two-factor mean-reverting model with jumps. The resulting sequence of two-dim…