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

Wang, Chuan-JuChuan-JuWangDai, Tian-ShyrTian-ShyrDaiLyuu, Yuh-DauhYuh-DauhLyuuYUH-DAUH LYUU2020-05-042020-05-042009https://scholars.lib.ntu.edu.tw/handle/123456789/490508An efficient and accurate lattice for pricing derivatives under a jump-diffusion process.conference paper10.1145/1529282.1529494https://doi.org/10.1145/1529282.1529494