A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (Q5962134)
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scientific article; zbMATH DE number 5786520
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes |
scientific article; zbMATH DE number 5786520 |
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A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (English)
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16 September 2010
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American option
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interpolation method
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quasi-analytical approximation
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critical boundary
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Heston's Stochastic volatility model
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