@Thijs, email sent@Polter, Not so much interested in that approximation.Would like to see early exercise boundaries accurately and quickly generated in models with continuous and discrete dividends, including:(i) GBM, (ii) exp Levy models, (iii) stoch. vol models, (iv) SVJ, etc. For example, for Case (iii) with cont div yields,I have a penalty method implemented in Mathematica, but it is a little slow for my tastes. Don't have a case (iv) implemented at all, although I have some algorithm ideas for it that I could contribute. Here is a related: Feature Request: a library of methods for converting a set of observed American-style option prices to estimatesof what the corresponding Euro-style prices would be, if they were trading. [This is a quite common problem neededfor smile fitting and modelling in a variety of contexts.]
Last edited by Alan
on October 3rd, 2011, 10:00 pm, edited 1 time in total.