A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes
Year of publication: |
2009
|
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Authors: | Li, Minqiang |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | American option | Interpolation method | Quasi-analytical approximation | Critical bound- ary | Heston's Stochastic volatility model |
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