Use http status 202 for asynchronous operations

I think that your solution is fine, the Http status 202 is the proper response to use in this specific case indicating that the request has been accepted for processing, but the processing has not been completed.

What I would slightly change in your workflow are the Http status of the subsequent requests.

As you said, the 202 response should return a Location header specifying the URL that client should use to monitor the status of its previous request.
Calling this Check-the-status-of-my-process URL, instead of returning a 202 in case of process pending, I would return:

1. 200 OK when the requested process is still pending. The Response should describe the pending status of the process.
2. 201 Created when the processing has been completed. The Response in case of GET/PUT/POST should contain the Location to the requested/created/updated resource.