We introduce a new analytical approach to price American options. Using an explicit and intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters, this method can accurately price options with time-to-maturity up to several years. The main advantage of our approach over existing methods lies in its ...

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Medvedev, Alexey, (2008)

Approximation and Calibration of Short-Term implied Volatilities Under Jump-Diffusion Stochastic Volatility

Medvedev, Alexey, (2006)

A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics

MEDVEDEV, Alexey, (2004)