American options are extremely sensitive to market mechanics. If any detail is handled incorrectly — events, settlement rules, dividends, calendars, or spot-vs-forward dynamics — the pricer introduces systematic biases. These biases ripple across the volatility surface and distort every model-decomposed quantity. For market makers, these distortions mean higher adverse selection and more toxic fills. For buy-side quants, they mean misidentifying structural bias as alpha. Our American option pricer eliminates these failure modes by modeling the full economic reality of an option — precisely, consistently, and at microsecond speed.
Imagine pricing an American call on a stock with a cash dividend and an earnings event before expiration. Volatility spikes around the event but stays normal before and after. A pricer that averages volatility across the full period will systematically misprice the call.
Our pricer captures the full, event-distorted volatility term structure, ensuring accurate early-exercise decisions and unbiased pricing across all expirations.
Learn more →Settlement details, if mishandled, can cause inaccurate financing cost calculations and option valuations.
Currently in the U.S., stocks, ETFs, and options settle on T+1. Our pricer fully accounts for settlement rules, weekends, and holidays, eliminating hidden financing bias.
Dividends strongly impact early exercise and option valuation. Misplacing dividends on the time grid can create systematic pricing biases.
Our pricer accurately models both fixed and proportional dividends, correctly timing them according to clearinghouse cut-offs, ensuring precise pricing.
Traditional methods price options based on forward price volatility, creating expiration-dependent inconsistencies.
Our pricer models spot price returns, ensuring consistent option values across expirations and around dividend dates.
Our pricer achieves lightning-fast performance while maintaining pinpoint accuracy, delivering 1-bps accurate valuations and implied volatilities in microseconds, enabling industrial-scale research, quick turnaround, and high-frequency execution.