Robert Geske, Kuldeep Shastri, Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques, The Journal of Financial and Quantitative Analysis, Vol. 20, No. 1 (Mar., 1985), pp. 45-71
No takes yet. Share an insight, caveat, or question.
Geske et al. (1985) studied this question.
Synapse has enriched one closely related paper. Consider it for comparative context: