Timothy Klassen

Vola Dynamics LLC

CEO/Founder

New York, NY

Volar Technologies LLC

CEO and Founder

New York, NY

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 14,988

SSRN RANKINGS

Top 14,988

in Total Papers Downloads

4,202

SSRN CITATIONS

6

CROSSREF CITATIONS

2

Scholarly Papers (4)

1.

Pricing Vanilla Options with Cash Dividends

Number of pages: 28 Posted: 23 Jul 2015
Timothy Klassen and Timothy Klassen
Volar Technologies LLCVola Dynamics LLC
Downloads 1,653 (13,385)
Citation 1

Abstract:

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Options pricing, American options, cash dividends, implied volatility, borrow cost, calibration, options market making

2.

Necessary and Sufficient No-Arbitrage Conditions for the SSVI/S3 Volatility Curve

Number of pages: 13 Posted: 01 Feb 2016
Timothy Klassen and Timothy Klassen
Volar Technologies LLCVola Dynamics LLC
Downloads 1,325 (18,797)

Abstract:

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options, implied volatility, volatility curve parametrization, no-arbitrage, SSVI/S3

3.

Pricing Variance Swaps with Cash Dividends

Final version in: Wilmott Journal, 1 (4) 173-177 (2009)
Number of pages: 7 Posted: 24 Oct 2008 Last Revised: 22 Jan 2015
Timothy Klassen and Timothy Klassen
Volar Technologies LLCVola Dynamics LLC
Downloads 935 (31,326)
Citation 2

Abstract:

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Variance swaps, dividends, equity derivatives

4.

Simple, Fast and Flexible Pricing of Asian Options

Final version in: Journal of Computational Finance, 4 (3) 89-124 (2001)
Number of pages: 37 Posted: 25 Jan 2015
Timothy Klassen and Timothy Klassen
Volar Technologies LLCVola Dynamics LLC
Downloads 289 (133,625)
Citation 2

Abstract:

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Asian options, derivatives pricing, binomial trees