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!

  • 2
    $\begingroup$ I posed a similar question about American calls embedded in bonds quant.stackexchange.com/questions/51284 never found anything faster than brute search $\endgroup$ 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


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Browse other questions tagged or ask your own question.