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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