## Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model Universiteit Antwerpen

This paper concerns the numerical solution of the two-dimensional time-dependent partial integro-differential equation that holds for the values of European-style options under the two-asset Kou jump-diffusion model. A main feature of this equation is the presence of a nonlocal double integral term. For its numerical evaluation, we extend a highly efficient algorithm derived by Toivanen in the case of the one-dimensional Kou integral. The ...