@article{10902/28969,
year = {2023},
month = {1},
url = {https://hdl.handle.net/10902/28969},
abstract = {In this paper, we propose a numerical method for American multi-asset options under jump-diffusion model based on the combination of the exponential time differencing (ETD) technique for the differential operator and Gauss-Hermite quadrature for the integral term. In order to simplify the computational stencil and improve characteristics of the ETD-scheme mixed derivative eliminating transformation is applied. The results are compared with recently proposed methods.},
organization = {Ministerio de Ciencia, Innovación y Universidades, Grant/Award Number: MTM2017- 89664-P; Ministerio de Economía y Competitividad, Grant/Award Number: PID2019-107685RB-I00},
publisher = {John Wiley & Sons},
publisher = {Mathematical Methods in the Applied Sciences, 2023, 46(9), 10332-10347},
title = {An ETD method for multi-asset American option pricing under jump-diffusion model},
author = {Company Rossi, Rafael and Egorova, Vera and Jódar Sánchez, Lucas},
}