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An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process

An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process. 1. Introduction. In a lattice, the prices of the derivatives converge when the number of time steps increase.

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Hs lattice - PowerPoint PPT Presentation

An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process