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

DOI10.1016/j.amc.2010.08.050zbMath1206.91080OpenAlexW2023926114MaRDI QIDQ613244

Yuh-Dauh Lyuu, Yen-Chun Liu, Tian-Shyr Dai, Chuan-Ju Wang

Publication date: 20 December 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://ntur.lib.ntu.edu.tw/bitstream/246246/219656/1/02.pdf

zbMATH Keywords

complexitynumerical methodoption pricingjump-diffusion processlattice construction

Mathematics Subject Classification ID

Related Items (2)

Asian Options, Jump-Diffusion Processes on a Lattice, and Vandermonde Matrices ⋮ A numerical method to price discrete double Barrier options under a constant elasticity of variance model with jump diffusion

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