American option pricing under GARCH by a Markov chain approximation
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- Duan, Jin-Chuan & Zhang, Hua, 2001. "Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1989-2014, November.
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- Barraquand, Jérôme & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September.
- Peter Ritchken & Rob Trevor, 1999. "Pricing Options under Generalized GARCH and Stochastic Volatility Processes," Journal of Finance, American Finance Association, vol. 54(1), pages 377-402, 02.
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