Xiao-song Qian, Cheng-long Xu, Li-shang Jiang, Bao-jun Bian. Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model. SIAM J. Numerical Analysis, 42(5):1899-1913, 2005. [doi]
@article{QianXJB05,
title = {Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model},
author = {Xiao-song Qian and Cheng-long Xu and Li-shang Jiang and Bao-jun Bian},
year = {2005},
doi = {10.1137/S0036142902409744},
url = {http://dx.doi.org/10.1137/S0036142902409744},
researchr = {https://researchr.org/publication/QianXJB05},
cites = {0},
citedby = {0},
journal = {SIAM J. Numerical Analysis},
volume = {42},
number = {5},
pages = {1899-1913},
}