Valeurs des ondelettes aux bords d'un intervalle
Valuation of two-factor options under the Merton jump-diffusion model using orthogonal spline wavelets
This paper addresses the two-asset Merton model for option pricing represented by non-stationary integro-differential equations with two state variables. The drawback of most classical methods for solving these types of equations is that the matrices arising from discretization are full and ill-conditioned. In this paper, we first transform the equation using logarithmic prices, drift removal, and localization. Then, we apply the Galerkin method with a recently proposed orthogonal cubic spline-wavelet...