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]
@article{DaiWLL10,
title = {An efficient and accurate lattice for pricing derivatives under a jump-diffusion process},
author = {Tian-Shyr Dai and Chuan-Ju Wang and Yuh-Dauh Lyuu and Yen-Chun Liu},
year = {2010},
doi = {10.1016/j.amc.2010.08.050},
url = {http://dx.doi.org/10.1016/j.amc.2010.08.050},
researchr = {https://researchr.org/publication/DaiWLL10},
cites = {0},
citedby = {0},
journal = {Applied Mathematics and Computation},
volume = {217},
number = {7},
pages = {3174-3189},
}