Decoupled American Option Pricing Method : Computation of Implied Volatilities and Further Applications

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

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Year of publication:	[2009]
Authors:	Shkolnikov, Yuriy
Publisher:	[2009]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 25, 2009 erstellt
Other identifiers:	10.2139/ssrn.1371930 [DOI]
Classification:	C5 - Econometric Modeling ; C6 - Mathematical Methods and Programming ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012718224