Numerical valuation of European options under two-asset infinite-activity exponential Lévy models
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Applied mathematical finance - ISSN 1350-486X- (2026) p.
Numerical methods for solving PIDEs arising in swing option pricing under a two-factor mean-reverting model with jumps
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Applied numerical mathematics - ISSN 0168-9274-227 (2026) p. 204-231
An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model
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The journal of computational finance - ISSN 1755-2850-29:3 (2025) p. 1-26
A note on the numerical approximation of Greeks for American-style options
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Mathematics and computers in simulation - ISSN 0378-4754-230 (2025) p. 501-516
Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
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The journal of computational finance - ISSN 1460-1559-26:4 (2023) p. 101-137