Hilliard, Jimmy E.; Hilliard, Jitka - In: Journal of Futures Markets 35 (2015) 4, pp. 385-398
<section xml:id="fut21667-sec-0001"> The lattice approximation to a continuous time process is an especially useful way to value American and real options. We choose lattice probabilities by extending density matching for diffusions to density matching for jump diffusions. Technically, this requires that diffusion and jump...</section>