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

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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]

The following publications are possibly variants of this publication:

An efficient and accurate lattice for pricing derivatives under a jump-diffusion processTian-Shyr Dai, Chuan-Ju Wang, Yuh-Dauh Lyuu, Yen-Chun Liu. amc, 217(7):3174-3189, 2010. [doi]

An Accurate Lattice Model for Pricing Catastrophe Equity Put Under the Jump-Diffusion ProcessChuan-Ju Wang, Tian-Shyr Dai. cim, 13(4):35-45, 2018. [doi]

Pricing options under jump diffusion processes with fitted finite volume methodKai Zhang, Song Wang. amc, 201(1-2):398-413, 2008. [doi]

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