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I am trying to find a quick and dirty way to estimate fugit for a basket of American options real time. Is there a quick way to provide a proxy? I know one can do binomial tree or monte carlos simulation, but that would just take too long to run for a large universe of options.

Thank you!

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    $\begingroup$ I posed a similar question about American calls embedded in bonds quant.stackexchange.com/questions/51284 never found anything faster than brute search $\endgroup$
    – Dimitri Vulis
    May 19, 2022 at 21:30
  • $\begingroup$ @Dimitri Vulis Thanks, been searching for an answer for a while too here... $\endgroup$
    – DLW
    May 20, 2022 at 21:05

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