When I started combing through the literature I was astonished about how little the option pricing models are tested against market data and benchmarks are limited. The main barrier is of course ...
What is the effect of dividend yield being greater than the risk-free rate to American options pricing?
Even though dividends are discrete, literature often makes the assumption of continuous dividends (mostly in the case of indices but the individual stocks as well). The dividend yield denoted by q is ...
I am trying to estimate the early exercise boundary for an American put option. I can find the put value through the Longstaff-Schwartz LSM method. How do I obtain the early exercise boundary within ...
I am trying to get the implied volatility from options on commodity futures and I know it's possible to get it from the binomial american options (on an non-dividend paying stock). I believe it is ...
I am trying to work out the formula for calculating the implied volatility of an american option on a stock paying dividends (discrete payments or annualized yield). On page 171 of Haug The ...
Consider american options on interest rate futures such as the 10-year treasury note. When is early exercise optimal?