A lattice model for option pricing under GARCH-jump processes (Q385653)

The authors generalize a GARCH-jump lattice model extending the well-known GARCH option pricing tree developed by \textit{P. Ritchken} and \textit{R. Trevor} [``Pricing options under generalized GARCH and stochastic volatility processes'', J. Finance 54, 366--402 (1999)] by including a jump process. The method is developed and the authors claim that it is an efficient option that outworks the Monte Carlo simulation approach. Their claim is supported by numerical results on the pricing of European options. A couple of appendices provide details on some proofs.