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"Numerical valuation of two-asset options under jump diffusion models using ..."

Mohamed Fakharany, Vera N. Egorova, Rafael Company (2018)

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DOI: 10.1016/J.CAM.2017.03.032

access: closed

type: Journal Article

metadata version: 2020-02-20

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Mohamed Fakharany, Vera N. Egorova, Rafael Company:
Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature. J. Comput. Appl. Math. 330: 822-834 (2018)

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