Pricing Options under Generalized GARCH and Stochastic Volatility Processes
提出一种高效格子算法，用于离散时间GARCH过程下的欧式和美式期权定价，该算法可推广至广义GARCH及一大类双变量扩散模型，为期权定价提供统一框架。
In this paper, we develop an efficient lattice algorithm to price European and American options under discrete time GARCH processes. We show that this algorithm is easily extended to price options under generalized GARCH processes, with many of the existing stochastic volatility bivariate diffusion models appearing as limiting cases. We establish one unifying algorithm that can price options under almost all existing GARCH specifications as well as under a large family of bivariate diffusions in which volatility follows its own, perhaps correlated, process.