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

Chuan-Ju Wang Tian-Shyr Dai Yuh-Dauh Lyuu Yen-Chun Liu

Published in: SAC (2009)

Keyphrases

jump diffusion process
computationally efficient
neural network
lattice structure
artificial intelligence
highly accurate
genetic algorithm
high quality
higher order
distributional assumptions
machine learning
reinforcement learning
high accuracy
mechanism design