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

Chuan-Ju Wang, Tian-Shyr Dai, Yuh-Dauh Lyuu, Yen-Chun Liu. An efficient and accurate lattice for pricing derivatives under a jump-diffusion process. In Sung Y. Shin, Sascha Ossowski, editors, Proceedings of the 2009 ACM Symposium on Applied Computing (SAC), Honolulu, Hawaii, USA, March 9-12, 2009. pages 966-970, ACM, 2009. [doi]

Authors

Chuan-Ju Wang

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Tian-Shyr Dai

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Yuh-Dauh Lyuu

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Yen-Chun Liu

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