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

@article{Hout2022EfficientNV, title={Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model}, author={Karel J. in 't Hout and Pieter Lamotte}, journal={ArXiv}, year={2022}, volume={abs/2207.10060} }

This paper concerns the numerical solution of the two-dimensional time-dependent partial integro-diﬀerential equation (PIDE) 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 [30] in the case of the one-dimensional Kou integral. The acquired algorithm for the two-dimensional Kou…

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