This article generalizes the single-period linear programming option bound prices by allowing for a finite nu mber of revision opportunities. It is shown that, in an incomplete ma rket, the bounds on option prices can be derived using a modified bin omial option pricing model. Tighter bounds are...

This article establishes efficient lattice algorithms for pricing American interest-sensitive claims in the Heath, Jarrow, and Morton paradigm under the assumption that the volatility structure of forward rates is restricted to a class that permits a Markovian representation of the term...

Unlike most interest rate claim models, the Ho-Lee (1986) model utilizes full information on the current term structure. Unfortunately, the model has a major deficiency in that negative interest rates can occur. This article modifies the model such that interest rates are well behaved. Copyright...

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...

This paper examines whether higher order multifactor models, with state variables linked "solely" to underlying LIBOR-swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic...