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
SAC, 2009.
@inproceedings{SAC-2009-WangDLL,
author = "Chuan-Ju Wang and Tian-Shyr Dai and Yuh-Dauh Lyuu and Yen-Chun Liu",
booktitle = "{Proceedings of the 24th Symposium on Applied Computing}",
doi = "10.1145/1529282.1529494",
editor = "Sung Y. Shin and Sascha Ossowski",
isbn = "978-1-60558-166-8",
pages = "966--970",
publisher = "{ACM}",
title = "{An efficient and accurate lattice for pricing derivatives under a jump-diffusion process}",
year = 2009,
}