An efficient and accurate lattice for pricing derivatives under a jump-diffusion process.

Journal

Proceedings of the 2009 ACM Symposium on Applied Computing (SAC), Honolulu, Hawaii, USA, March 9-12, 2009

Pages

966-970

Date Issued

2009

Author(s)

Wang, Chuan-Ju

Dai, Tian-Shyr

Lyuu, Yuh-Dauh

DOI

URI

URL

Type

conference paper