Operator splitting schemes for the two-asset Merton jump-diffusion model

12 Jan 2019 Boen Lynn Hout Karel J. in 't

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 two-asset Merton jump-diffusion model. Key features of this well-known equation are a two-dimensional nonlocal integral part and a mixed spatial derivative term... (read more)

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