Wu, Chun-Chou - In: Review of Quantitative Finance and Accounting 26 (2006) 1, pp. 55-66
Ritchken and Trevor (1999) proposed a lattice approach for pricing American options under discrete time-varying volatility GARCH frameworks. Even though the lattice approach worked well for the pricing of the GARCH options, it was inappropriate when the option price was computed on the lattice...
