I am struggling with developing a binomial tree with jumps. although there are models such as CRR, could you suggest a book or have any idea to proceed?

Thanks, Amir


1 Answer 1


Try this paper (although it's advanced): https://www.sciencedirect.com/science/article/pii/S0377042702009032

The topic you picked is not necessarily an easy one :)

  • 1
    $\begingroup$ This paper quotes another paper K.I. Amin: Jump diffusion option valuation in discrete time, J. Finance, 48 (1993), pp. 1833-1863 which you might also need to look at to understand the basic method. Good luck. $\endgroup$
    – nbbo2
    Jun 8, 2020 at 17:55

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