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An efficient and accurate lattice for pricing derivatives u..:
, In:
Proceedings of the 2009 ACM symposium on Applied Computing
,
Wang, Chuan-Ju
;
Dai, Tian-Shyr
;
Lyuu, Yuh-Dauh
. - p. 966-970 , 2009
Link:
https://dl.acm.org/doi/10.1145/1529282.1529494
RT T1 <cTitle>Proceedings of the 2009 ACM symposium on Applied Computing</cTitle>: T1 <Title>An efficient and accurate lattice for pricing derivatives under a jump-diffusion process</Title> UL https://suche.suub.uni-bremen.de/peid=acm-1529494&Exemplar=1&LAN=DE A1 Wang, Chuan-Ju A1 Dai, Tian-Shyr A1 Lyuu, Yuh-Dauh A1 Liu, Yen-Chun PB ACM YR 2009 K1 complexity K1 jump-diffusion process K1 pricing algorithm K1 Mathematics of computing K1 Mathematical analysis K1 Numerical analysis K1 Numerical differentiation K1 Theory of computation K1 Design and analysis of algorithms K1 Computing methodologies K1 Modeling and simulation K1 Simulation types and techniques K1 Discrete-event simulation K1 Continuous simulation SP 966 OP 970 LK http://dx.doi.org/https://dl.acm.org/doi/10.1145/1529282.1529494 DO https://dl.acm.org/doi/10.1145/1529282.1529494 SF ELIB - SuUB Bremen
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