An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
type: Item
instance of: scholarly article
title: An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
zbMATH Open document ID: 1206.91080
author: Tian-Shyr Dai
author: Chuan-Ju Wang
author: Yuh-Dauh Lyuu
author: Yen-Chun Liu
published in: Applied Mathematics and Computation
publication date: 2010-12-20T00:00:00Z
full work available at URL: 02.pdf
review text: 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.
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60J75
zbMATH DE Number: 5828095
zbMATH Keywords: option pricing
zbMATH Keywords: numerical method
zbMATH Keywords: lattice construction
zbMATH Keywords: jump-diffusion process
zbMATH Keywords: complexity
reviewed by: G. M. Shevchenko
MaRDI profile type: Publication
OpenAlex ID: W2023926114
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DOI: 10.1016/J.AMC.2010.08.050
description: scientific article; zbMATH DE number 5828095