Application of the improved fast Gauss transform to option pricing under jump-diffusion processes

Application of Fast N-Body Algorithm to Option Pricing under CGMY Model

“…However, its computational efficiency was observed to be poor because the method requires more grid points than the FFT method to achieve similar accuracy. Recently, the improved fast Gauss transform (IFGT, [20]) has been applied and numerical experiments have shown that this method is more efficient than the FFT method [21]; however, IFGT can be applied only to Merton's jump-diffusion models.…”