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

Tian-Shyr Dai, Chuan-Ju Wang, Yuh-Dauh Lyuu, Yen-Chun Liu. An efficient and accurate lattice for pricing derivatives under a jump-diffusion process. Applied Mathematics and Computation, 217(7):3174-3189, 2010. [doi]

Abstract

Abstract is missing.