Forsyth, P.; Vetzal, K.; Zvan, R. - In: Review of Derivatives Research 5 (2002) 3, pp. 273-314
One method for valuing path-dependent options is the augmented state space approach described in Hull and White (1993) and Barraquand and Pudet (1996), among others. In certain cases, interpolation is required because the number of possible values of the additional state variable grows...