An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
The paper focuses on lattice methods for numerical derivatives pricing. The authors construct a new flexible lattice with trinomial structure for pricing derivatives in jump-diffusion models. They claim that it is more efficient (in terms of accuracy, speed and generality) than its counterparts found in earlier papers. Though the paper obviously lacks mathematical rigour, the numerical results presented by the authors seem to confirm their claim.
scientific article; zbMATH DE number 5828095