A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
| Year of publication: |
2010
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|---|---|
| Authors: | Li, Minqiang |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 13.2010, 2, p. 177-217
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| Publisher: |
Springer |
| Subject: | American option | Interpolation method | Quasi-analytical approximation | Critical boundary | Heston’s Stochastic volatility model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008526469