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

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-06-25 DOI:10.2139/ssrn.1371930

Yuriy Shkolnikov

引用次数: 0

Abstract

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.

查看原文本刊更多论文

解耦美式期权定价方法:隐含波动率的计算及其进一步应用

在接近对数正态的基础上，提出了一种计算美国期权上市价格波动率的方法。根据在交易所多次执行的美国看涨期权和看跌期权的价格，我们计算每次执行时未交易的欧洲合约的基础波动率和隐含波动率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets