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The binomial tree method (BTM), first proposed by Cox et al. (1979) [4] in diffusion models and extended by Amin (1993) [9] to jump–diffusion models, is one of the most popular approaches to pricing options. In this paper, we present a binomial tree method for lookback options in jump–diffusion models and show its equivalence to certain explicit difference scheme. We also prove the existence and convergence...
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