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An ETD method for multi-asset American option pricing under jump-diffusion model

dc.contributor.authorCompany Rossi, Rafael
dc.contributor.authorEgorova, Vera 
dc.contributor.authorJódar Sánchez, Lucas
dc.contributor.otherUniversidad de Cantabriaes_ES
dc.date.accessioned2023-05-18T15:07:14Z
dc.date.available2023-05-18T15:07:14Z
dc.date.issued2023-01
dc.identifier.issn0170-4214
dc.identifier.issn1099-1476
dc.identifier.otherMTM2017-89664-Pes_ES
dc.identifier.otherPID2019-107685RB-I00es_ES
dc.identifier.urihttps://hdl.handle.net/10902/28969
dc.description.abstractIn 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.es_ES
dc.description.sponsorshipMinisterio de Ciencia, Innovación y Universidades, Grant/Award Number: MTM2017- 89664-P; Ministerio de Economía y Competitividad, Grant/Award Number: PID2019-107685RB-I00es_ES
dc.format.extent16 p.es_ES
dc.language.isoenges_ES
dc.publisherJohn Wiley & Sonses_ES
dc.rightsAttribution-NonCommercial 4.0 Internationales_ES
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/*
dc.sourceMathematical Methods in the Applied Sciences, 2023, 46(9), 10332-10347es_ES
dc.subject.otherExponential time differencinges_ES
dc.subject.otherJump-diffusion modeles_ES
dc.subject.otherMulti-asset option pricinges_ES
dc.subject.otherMultivariate Gauss-Hermite quadraturees_ES
dc.subject.otherPartial-integro differential equationes_ES
dc.titleAn ETD method for multi-asset American option pricing under jump-diffusion modeles_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherVersionhttps://doi.org/10.1002/mma.9125es_ES
dc.rights.accessRightsopenAccesses_ES
dc.identifier.DOI10.1002/mma.9125
dc.type.versionpublishedVersiones_ES


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