Presented At Modeling High Frequency Data in Finance III Conference at Stevens Institute of Technology

Dr. Yuriy Shkolnikov, Director of Quantitative Research at Numerix, presented “Efficient Analytic Price Approximation for American Options: Discrete Time-Dependent Parameters” at Modeling High Frequency Data in Finance 3 at Stevens Institute of Technology

The presentation addressed key issues such as:

  • An efficient analytic approximation for American options on a log-normal underlying with time-dependent parameters, proportional or discrete dividends – strike convention

  • The “Decoupled Volatility Method” framework, designed to price American options on a general underlying with proportional or discrete dividends efficiently and timely

  • The comparison of results and computational times for the presented approximation and trinomial tree for a log-normal underlying, proportional or discrete dividends

  • The inverse problem of extraction of the time-dependent Implied Volatility curve and Underlying Volatility surface for a general underlying with proportional or discrete dividends

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