American Options Pricing under 2-Factor Bergomi Model Or 1-Factor Bergomi and Stochastic Rates by Olivier Deloire :: SSRN

This article presents a generic hybrid numerical method to price American options on an asset under Bergomi 2-Factor stochastic volatility model. It also extends to the case of equity and interest rate hybrid with stochastic rates and a 1-Factor Bergomi stochastic volatility.