Abstract
In this paper we propose a numerical method for American multi-asset
options under jump-diffusion model based on the combination of the
exponential time differencing (ETD) technique for the differential
operator and Gauss-Hermite quadrature for the integral term. In order to
simplify the computational stencil and improve characteristics of the
ETD-scheme mixed derivative eliminating transformation is applied. The
results are compared with recently proposed methods.