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

DOI10.1007/s11147-009-9047-0zbMath1231.91442OpenAlexW2143277580MaRDI QIDQ5962134

Minqiang Li

Publication date: 16 September 2010

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/17348/1/MPRA_paper_17348.pdf

zbMATH Keywords

interpolation methodAmerican optioncritical boundaryHeston's Stochastic volatility modelquasi-analytical approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05) Interpolation in approximation theory (41A05)

Related Items (4)

An improved method for pricing and hedging long dated American options ⋮ On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach ⋮ Optimal exercise of American put options near maturity: a new economic perspective ⋮ A recombining lattice option pricing model that relaxes the assumption of lognormality

Uses Software

• Mathematica

Cites Work

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