Abstract
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.
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