Convergence of the Binomial Tree Method for American Options in a Jump-Diffusion Model

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]

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