Page 1

Displaying 1 – 2 of 2

Showing per page

Wavelet method for option pricing under the two-asset Merton jump-diffusion model

Černá, Dana (2021)

Programs and Algorithms of Numerical Mathematics

This paper examines the pricing of two-asset European options under the Merton model represented by a nonstationary integro-differential equation with two state variables. For its numerical solution, the wavelet-Galerkin method combined with the Crank-Nicolson scheme is used. A drawback of most classical methods is the full structure of discretization matrices. In comparison, the wavelet method enables the approximation of discretization matrices with sparse matrices. Sparsity is essential for the...

Currently displaying 1 – 2 of 2

Page 1