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I am wondering if anybody could point me to any literature that talks about a discrete time version of the jump-diffusion model, I am aware that there is a paper by Amin (1993) that shows a discrete version of this model that converges, however it is very inefficient and does not recombine, there are a few other papers that try to improve this but they still do not recombine efficiently.

Another related question is, are there any models that introduce jumps but are fully recombining?

Thank you,

share|improve this question
By "recombining" you mean Markov? – Brian B Oct 8 '12 at 20:47
math.jussieu.fr/~tankov/tankov_voltchkova.pdf and reference there-in. – anabelli Oct 15 '12 at 19:52

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