In this article,we introduce a method for volatility computation from listed prices of American options on a un- derlying 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
Complete the form below to download this complimentary research paper.
LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help
White paper | The State of XVA Usage in Latin America – A 2022 Update
White paper | Decrypting Crypto: Explaining the Market and Understanding the Requirements for...
Thinking Derivatively – May 2022 Newsletter
Thinking Derivatively – April 2022 Newsletter
Checklist | Where are you in your SEC Rule 18f-4 implementation?
NxCore for Partners - Comprehensive Capital Markets System Development Platform
NxCore Cloud - Accelerate your Capital Markets System Development
Article | Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for...
Thinking Derivatively – March 2022 Newsletter
White paper | The XVA Challenges Energy Traders Face in a Complicated and Volatile Market
Thinking Derivatively – February 2022 Newsletter