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.

• 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