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

DOI10.1016/J.AMC.2010.08.050zbMATH Open1206.91080OpenAlexW2023926114MaRDI QIDQ613244FDOQ613244

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

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zbMATH Keywords

option pricingcomplexitynumerical methodjump-diffusion processlattice construction

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

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• An exact subexponential-time lattice algorithm for Asian options
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• The Valuation of Path Dependent Contracts on the Average
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• Linear-time option pricing algorithms by combinatorics

Cited In (2)

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

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