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

Author： Li Minqiang

Publisher： Springer Publishing Company

ISSN： 1380-6645

Source： Review of Derivatives Research, Vol.13, Iss.2, 2010-07, pp. : 177-217

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A general method for pricing European exotic options under Lévy processes

By Agliardi Rossella

International Journal of Financial Markets and Derivatives, Vol. 2, Iss. 3, 2011-09 ,pp. : 209-222

Inderscience Publishers

Access to resources Recommend Favorite

A closed-form solution to American options under general diffusion processes

By Zhao Jing Wong Hoi Ying

Quantitative Finance, Vol. 12, Iss. 5, 2012-05 ,pp. : 725-737

Routledge Ltd

Access to resources Recommend Favorite

On the analytical/numerical pricing of American put options against binomial tree prices

By Joshi Mark Staunton Mike

Quantitative Finance, Vol. 12, Iss. 1, 2012-01 ,pp. : 17-20

Routledge Ltd

Access to resources Recommend Favorite

Pricing a class of exotic commodity options in a multi-factor jump-diffusion model

By Crosby John

Quantitative Finance, Vol. 8, Iss. 5, 2008-08 ,pp. : 471-483

Routledge Ltd

Access to resources Recommend Favorite

Regression methods in pricing American and Bermudan options using consumption processes

By Belomestny Denis Milstein Grigori Spokoiny Vladimir

Quantitative Finance, Vol. 9, Iss. 3, 2009-04 ,pp. : 315-327

Routledge Ltd

Access to resources Recommend Favorite