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Numerical solution of two asset jump diffusion models for option valuation

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References

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2000Far Field Boundary Conditions for Black--Scholes Equations252 cited

Cited by

2010The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach67 cited
2012High-order computational methods for option valuation under multifactor models31 cited
2019On the pricing of multi-asset options under jump-diffusion processes using meshfree moving least-squares approximation29 cited
2016An unconditionally monotone numerical scheme for the two-factor uncertain volatility model28 cited
2025From Traditional to Computationally Efficient Scientific Computing Algorithms in Option Pricing: Current Progresses with Future Directions26 cited
2013Pricing Options in Jump Diffusion Models Using Mellin Transforms25 cited
2017An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options21 cited
2015Efficient solution of structural default models with correlated jumps and mutual obligations20 cited