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...

Many portfolio managers use options in their investment strategy, yet the issue of performance measurement for such portfolios remains unresolved. This study examines the nature of risk for option affected portfolios and identifies appropriate risk measures for them. We find that the main issue...

Models for pricing interest rate claims, developed under the Heath-Jarrow-Morton paradigm, differ according to the volatility structure imposed on forward rates. For most general HJM structures the resultant path dependence creates implementation problems. Ritchken and Sankarasubramanian have...