quantitative research
Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications
In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. From prices of American calls and puts, traded at an exchange at multiple strikes we compute the underlying volatility and implied volatility of an untraded European contract at each strike.
Authors: Yuriy Shkolnikov
In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal. From prices of American calls and puts, traded at an exchange at multiple strikes we compute the underlying volatility and implied volatility of an untraded European contract at each strike.
Authors: Yuriy Shkolnikov
