Yuriy Shkolnikov

Optimal Selection Ltd.

Head of Quantitative Research

47 Arbour Lake Dr. NW

Calgary, AB T3G 4A2

Canada

http://www.linkedin.com/pub/yuriy-shkolnikov/7/67/6b3

SCHOLARLY PAPERS

3

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SSRN CITATIONS
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CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Generalized Vanna-Volga Method and its Applications

Number of pages: 20 Posted: 30 Jul 2008 Last Revised: 13 Jul 2009
Yuriy Shkolnikov
Optimal Selection Ltd.
Downloads 3,949 (3,252)
Citation 5

Abstract:

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Fair value volatility, mark-to-market correction, Vanna-Volga, pivot options, arbitrary number of pivots, stochastic interest rate, multiple assets, time-dependent volatility, equity/commodity/FX options, vanilla or exotic contracts, European or American exercise

2.

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

Number of pages: 22 Posted: 02 Apr 2009 Last Revised: 13 Jul 2009
Yuriy Shkolnikov
Optimal Selection Ltd.
Downloads 558 (63,240)
Citation 1

Abstract:

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American option, implied volatility, strike dependence, smile, skew, Decoupled Volatility Model, Ju-Zhong Analytic Approximation, Underlying Volatility, European Put-Call Parity, Vanna-Volga correction

3.
Downloads 153 (243,711)

Abstract:

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American option, time-dependent parameters, term structure, discrete dividends, strike convention, analytic approximation