Lattice methods for pricing American strangles with two-dimensional stochastic volatility models (Q2320671)

Summary: The aim of this paper is to extend the lattice method proposed by \textit{P. Ritchken} and \textit{R. Trevor} [``Pricing options under generalized GARCH and stochastic volatility processes'', J. Finance 54, No. 1, 377--402 (1999; \url{doi:10.1111/0022-1082.00109})] for pricing American options with one-dimensional stochastic volatility models to the two-dimensional cases with strangle payoff. This proposed method is compared with the least square Monte-Carlo method via numerical examples.