A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes

Minqiang Li

Review of Derivatives Research, 2010, vol. 13, issue 2, 177-217

Keywords: American option; Interpolation method; Quasi-analytical approximation; Critical boundary; Heston’s Stochastic volatility model; C02; C63; G13 (search for similar items in EconPapers)
Date: 2010
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Working Paper: A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes (2009)
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DOI: 10.1007/s11147-009-9047-0

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