collaborators

1 paper

math.NA2025

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 devel…