Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework

93 Pages Posted: 14 Sep 2014

Date Written: September 12, 2014

Abstract

The paper introduces a fast analytic price approximations for American options on log-normal or close to log-normal (DVM) underlying assets with discrete time-dependent parameters (term structure) and two types of dividends: proportional and discrete-strike convention.

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

Suggested Citation

Shkolnikov, Yuriy, Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework (September 12, 2014). Available at SSRN: https://ssrn.com/abstract=2495553 or http://dx.doi.org/10.2139/ssrn.2495553

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