Numerix: Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends. The Decoupled Volatility Framework
The paper introduces a fast analytic price approximations for American options on log-normal or close to log-normal underlying assets with discrete time-dependent parameters. Two types of dividends considered here are proportional and discrete - strike convention.
1. Introduction
The paper considers pricing American options on underlyings with time-dependent (term structured) parameters in a form of analytic approximation. This subject has not been widely covered by openly available
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