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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 exponentially. We provide a detailed analysis of the convergence of these algorithms.
We show that it is possible for the algorithm to be non-convergent, or to converge to an incorrect answer, if the interpolation
scheme is selected in appropriately. We concentrate on Asian options, due to their popularity and because of some errors in
the previous literature.
This revised version was published online in June 2006 with corrections to the Cover Date. 相似文献
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