Pieter Lamotte

Pieter Lamotte is PhD student at the Department of Mathematics of the University of Antwerp (Belgium), where he obtained his MSc in Financial and Applied Mathematics in 2020. He is currently performing research on efficient and stable numerical methods for time-dependent partial (integro-)differential equations with applications in financial option valuation.

Articles by Pieter Lamotte

Original research

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

The authors extend a technique proposed by Toivanen (2008), arriving at an algorithm evaluating the nonlocal double integral appearing in the two-dimensional Kou PIDE and perform several numerical experiments to demonstrate actual convergence behavior…

28 Jun 2023