what underlying? Might be a good idea to assume SPY options are fair value and imply the distribution to be used against a less liquid but correlated underlying.
did rentech really hire business/accounting people to find tax avoidance or did they rely on banking relationships and consultants to do that? From what I read it was the latter and common practice
Why do you need to create synthetic prices? Identify the regime you're in and use prices from a similar historical regime. Not that predicting the future is possible
variables are
premium
volatility
underlying price
find what are the chances there will be a move beyond premium. scale for time. I am not referring to anything difficult. This is what a 14 or 15 year old learns in school