Operator splitting schemes for the two-asset Merton jump-diffusion model Universiteit Antwerpen
This paper deals with the numerical solution of the two-dimensional time-dependent Merton partial integro-differential equation (PIDE) for the values of rainbow options under the two-asset Merton jump–diffusion model. Key features of this well-known equation are a two-dimensional nonlocal integral part and a mixed spatial derivative term. For its efficient and stable numerical solution, we study seven recent and novel operator splitting schemes ...