Fast deterministic pricing of options on Lévy driven assets

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On the Numerical Evaluation of Option Prices in Jump Diffusion Processes (2007, methodology): “In the earliest of these, due to Merton (1976), the process the asset follows is assumed to be the sum of a Wiener process and a jump process where the jumps are lognormally distributed with constant parameters. Whenever the Black– Scholes price for a European option is known there is an analytic fo”
Wavelet Galerkin pricing of American options on Lévy driven assets (2005, background): “11) retains only diagonals of each block Al,l′ resulting in the typical ‘finger-band’ structure of waveletcompressed stiffness matrices (see [32] and the references there).”
Numerical solution of two asset jump diffusion models for option valuation (2008, methodology): “Wavelet methods for implicit solution of single factor infinite activity jump diusion problems were developed in [ 37 , 35, 36].”
Robust numerical methods for contingent claims under jump diffusion processes (2005, methodology): “This allows us to check the accuracy of our algorithm against the analytic solution of Merton (1976). Table 1 contains the input parameters (note that the mean of the jump distribution is μ and its standard deviation is γ).”
On the Risk-Neutral Valuation of Life Insurance Contracts with Numerical Methods in View (2010, methodology): “[4, 19]), based on wavelet methods ([37]), or Fourier transform based methods ([30, 36]).”