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

Minqiang Li

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

机译：一般多维扩散过程下美式期权定价的准分析插值方法

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来源
《Review of Derivatives Research》 |2010年第2期|177-217|共41页
作者
Minqiang Li;
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College of Management, Georgia Institute of Technology, 800 West Peachtree Street, Atlanta, GA 30308, USA;

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专利

1. The forward-path method for pricing multi-asset American-style options under general diffusion processes? [J] . Wenbin Hu, Shenghong Li Journal of Computational and Applied Mathematics . 2014,第Null期

机译：在一般扩散过程下为多资产美式期权定价的前向路径方法？
2. Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods [J] . Viet_Dung Doan, Abhijeet Gaikwad, Mireille Bossy, Mathematics and computers in simulation . 2010,第3期

机译：使用蒙特卡洛方法的多维百慕大/美式期权的并行定价算法
3. American and exotic option pricing with jump diffusions and other Levy processes [J] . Kirkby J. Lars The journal of computational finance . 2018,第3期

机译：具有跳跃扩散和其他征费程序的美国和异国期权定价
4. Simulations for American Option Pricing Under a Jump-Diffusion Model: Comparison Study between Kernel-Based and Regression-based Methods [C] . Hyun-Joo Lee, Seung-Ho Yang, Gyu-Sik Han, International Symposium on Neural Networks;ISSN 2008 . 2008

机译：跳扩散模型下的美国期权定价模拟：基于核的方法与基于回归的方法的比较研究
5. Numerical methods for the valuation of American options under jump-diffusion processes. [D] . Choi, Byeongwook. 2002

机译：跳扩散过程下美式期权估值的数值方法。
6. Finite Difference Methods for Option Pricing under Lévy Processes: Wiener-Hopf Factorization Approach [O] . Oleg Kudryavtsev 2013

机译：Lévy过程下期权定价的有限差分方法：Wiener-Hopf因式分解方法
7. A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes [O] . Li Minqiang 2009

机译：一般多维扩散过程下美式期权定价的准分析插值方法

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

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