most citedEfficient numerical valuation of European options under the two-asset Kou jump-diffusion model

2 citations · 2 across the 1 of their papers we have counts for

collaborators

1 paper

math.NA2022★ 2 cited

Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model

Karel in 't Hout, Pieter Lamotte

This paper concerns the numerical solution of the two-dimensional time-dependent partial integro-differential equation (PIDE) that holds for the values of European-style options un…