Laprise, Scott B.; Fu, Michael C.; Marcus, Steven I.; … - In: Management Science 52 (2006) 1, pp. 95-110
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation...