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Valuation of American Call Options

11 July 2018 Editor Comments Off on Valuation of American Call Options
The purpose of this paper is to provide an analytical solution for American call options assuming proportional dividends. Proportional dividends are more realistic for long-term options than absolute dividends and the formula does not have […]
Articles

What is Implied by Implied Volatility?

14 May 2018 Editor Comments Off on What is Implied by Implied Volatility?
Word and concept Implied volatility is not just a word or a concept. As a word, what is implied by implied volatility – what “implied volatility” means – is the value of the Brownian diffusion […]
Wilmott Inner Circle

A Look In The Antimatter Mirror

14 February 2018 Editor Comments Off on A Look In The Antimatter Mirror
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Wilmott Inner Circle

The Heston-Hull-White Model Part II: Numerics And Examples Wilmott Magazine Article – Holger Kammeyer and Jorge Kienitz

17 October 2016 Editor Comments Off on The Heston-Hull-White Model Part II: Numerics And Examples Wilmott Magazine Article – Holger Kammeyer and Jorge Kienitz
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Fast Estimation of American Bond Option Prices: Wilmott Magazine Article – Snorre Lindset, Arne-Christian Lund

23 October 2013 Editor Comments Off on Fast Estimation of American Bond Option Prices: Wilmott Magazine Article – Snorre Lindset, Arne-Christian Lund
You’ve just tried to access content that is only available to WILMOTT INNER CIRCLE members! Membership of WIC is a simple, free, upgrade to ordinary membership of wilmott.com. All we need is a bit more personal […]