"An efficient and accurate lattice for pricing derivatives under a ..."

Tian-Shyr Dai et al. (2010)

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DOI: 10.1016/J.AMC.2010.08.050

access: closed

type: Journal Article

metadata version: 2020-02-21

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  - https://dblp.org/rec/journals/amc/DaiWLL10
Tian-Shyr Dai, Chuan-Ju Wang, Yuh-Dauh Lyuu, Yen-Chun Liu:
An efficient and accurate lattice for pricing derivatives under a jump-diffusion process. Appl. Math. Comput. 217(7): 3174-3189 (2010)

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