The Valuation of American Options for a Class of Diffusion Processes
Published Online:1 Jul 2002https://doi.org/10.1287/mnsc.48.7.917.2815
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Volume 48, Issue 7
July 2002
Pages 821-953
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- Received:February 01, 2001
- Published Online:July 01, 2002
© 2002 INFORMS
Cite as
Jérôme Detemple, Weidong Tian, (2002) The Valuation of American Options for a Class of Diffusion Processes. Management Science 48(7):917-937.
https://doi.org/10.1287/mnsc.48.7.917.2815
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