loading page

An ETD method for multi-asset American option pricing under jump-diffusion model
  • R. Company,
  • Vera N. Egorova,
  • Lucas Jodar
R. Company
Universitat Politecnica de Valencia

Corresponding Author:[email protected]

Author Profile
Vera N. Egorova
Universidad de Cantabria
Author Profile
Lucas Jodar
Universitat Politecnica de Valencia
Author Profile


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.
12 Jan 2022Submitted to Mathematical Methods in the Applied Sciences
12 Jan 2022Submission Checks Completed
12 Jan 2022Assigned to Editor
28 Feb 2022Reviewer(s) Assigned
19 Dec 2022Review(s) Completed, Editorial Evaluation Pending
19 Dec 2022Editorial Decision: Revise Major
22 Dec 20221st Revision Received
23 Dec 2022Submission Checks Completed
23 Dec 2022Assigned to Editor
23 Dec 2022Review(s) Completed, Editorial Evaluation Pending
10 Jan 2023Reviewer(s) Assigned
13 Jan 2023Editorial Decision: Accept