Most accurate model for calculating American Options near expiration ?

Discussion in 'Options' started by Aston01, May 21, 2012.

  1. Aston01


    I have been reading the pros and cons of various models for calculating the theoretical value of options, but there are quite a bit of varying scenarios where one model works better than another.

    In regards to American style options that are within a week or so of expiration is there one model that tends to work better then most the others ?
  2. What are you trying to accomplish - predict the price of the option in a one-week window?
  3. Aston01


    Actually I am interested in calculating my exposure towards expiration. For instance AAPL made a 3+ Std Dev move today and I would like to find a decent way determine what effect that would have on a particular option.

    Obviously the implied volatility is probably going to be hard to approximate on a given strike, but I would like to use as practical and effective of a formula for such a scenario as I can. I know that some methods are more effective under certain circumstances than others... hence my reason for asking for an educated opinion of someone more experienced than I am.
  4. mojoe561


    Binomial pricing model