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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
Numerical valuation of Bermudan basket options via partial differential equations
Karel J. in 't Hout, Jacob Snoeijer
We study the principal component analysis (PCA) based approach introduced by Reisinger & Wittum (2007) for the approximation of Bermudan basket option values via partial differenti…