We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the …, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over …

and a finite family of European call options with various strikes and maturities. We first introduce local implied … volatilities and price level as market observables which parametrize the staticarbitrage bounds of options across strikes and …

In empirical modeling, there have been two strands for pricing in the options literature, namely the parametric and …

This paper investigates the impact of heterogeneous beliefs of professional investors on the currency options market … and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility …

In the existing literature on barrier options, much effort has been exerted to ensureconvergence through placing the … analytical option price.We study the convergence properties of various types of options including (but not limited to) double … knock-out, exponential barrier, double (constant) linear barriers and linear time-varying barriers. For options whose strike …

power. Empirical studies based on S&P 500 index options show that our method outperforms several competing pricing models in …

In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although … standard, barrier and Parisian options. …