Pricing European and American Derivatives under a Jump-Diffusion Process: A Bivariate Tree Approach
提出一种双变量树方法，通过匹配高阶矩或累积量来定价跳扩散过程下的衍生品，特别适用于长期美式期权和实物期权，并给出了收敛性证明和比较。
Abstract We develop a straightforward procedure to price derivatives by a bivariate tree when the underlying process is a jump-diffusion. Probabilities and jump sizes are derived are derived by matching higher order moments or cumulants. We give comparisons with other published results along with convergence proofs and estimates of the order of convergence. The bivariate tree approach is particularly useful for pricing long-term American options and long-term real options because of its robustness and flexibility. We illustrate the pedagogy in an application involving a long-term investment project.