Weber, Michael; Prokopczuk, Marcel - In: Journal of Futures Markets 31 (2011) 10, pp. 971-994
This study analyzes the issue of American option valuation when the underlying exhibits a GARCH‐type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation‐based methods being considered in previous studies. The EBT‐based valuation...