Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu. A multi-phase, flexible, and accurate lattice for pricing complex derivatives with multiple market variables. In Proceedings of the 2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics, CIFEr 2012, New York City, NY, USA, March 29-30, 2012. pages 1-8, IEEE, 2012. [doi]
Abstract is missing.