Operator splitting schemes for American options under the two-asset Merton jump-diffusion modelmath.NA
The paper develops and tests operator splitting schemes for American options in a complex model.
problem Efficient numerical solution of American options under a two-asset Merton jump-diffusion model.
method Adaptation of IMEX and ADI operator splitting schemes to solve the two-dimensional PIDCP.
result Investigates and compares the convergence and performance of eight operator splitting methods.