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- W4287994046 abstract "This paper deals with the efficient numerical solution of the two-dimensional partial integro-differential complementarity problem (PIDCP) that holds for the value of American-style options under the two-asset Merton jump-diffusion model. We consider the adaptation of various operator splitting schemes of both the implicit-explicit (IMEX) and the alternating direction implicit (ADI) kind that have recently been studied for partial integro-differential equations (PIDEs) in [3]. Each of these schemes conveniently treats the nonlocal integral part in an explicit manner. Their adaptation to PIDCPs is achieved through a combination with the Ikonen-Toivanen splitting technique [14] as well as with the penalty method [32]. The convergence behaviour and relative performance of the acquired eight operator splitting methods is investigated in extensive numerical experiments for American put-on-the-min and put-on-the-average options." @default.
- W4287994046 created "2022-07-26" @default.
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- W4287994046 date "2019-12-14" @default.
- W4287994046 modified "2023-09-29" @default.
- W4287994046 title "Operator splitting schemes for American options under the two-asset Merton jump-diffusion model" @default.
- W4287994046 doi "https://doi.org/10.48550/arxiv.1912.06809" @default.
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