@article{(Open Science Index):https://publications.waset.org/pdf/10011561,
	  title     = {Robust Numerical Scheme for Pricing American Options under Jump Diffusion Models},
	  author    = {Salah Alrabeei and  Mohammad Yousuf},
	  country	= {},
	  institution	= {},
	  abstract     = {The goal of option pricing theory is to help the investors
to manage their money, enhance returns and control their financial
future by theoretically valuing their options. However, most of the
option pricing models have no analytical solution. Furthermore,
not all the numerical methods are efficient to solve these models
because they have nonsmoothing payoffs or discontinuous derivatives
at the exercise price. In this paper, we solve the American option
under jump diffusion models by using efficient time-dependent
numerical methods. several techniques are integrated to reduced
the overcome the computational complexity. Fast Fourier Transform
(FFT) algorithm is used as a matrix-vector multiplication solver,
which reduces the complexity from O(M2) into O(M logM).
Partial fraction decomposition technique is applied to rational
approximation schemes to overcome the complexity of inverting
polynomial of matrices. The proposed method is easy to implement
on serial or parallel versions. Numerical results are presented to prove
the accuracy and efficiency of the proposed method.},
	    journal   = {International Journal of Mathematical and Computational Sciences},
	  volume    = {14},
	  number    = {11},
	  year      = {2020},
	  pages     = {116 - 120},
	  ee        = {https://publications.waset.org/pdf/10011561},
	  url   	= {https://publications.waset.org/vol/167},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 167, 2020},
	}