Financial and Actuarial Mathematics: Time Table
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SE Schachermayer (Thursday 16:30-18:00)
12.07.2001 - Kasper Larsen (Odense University, Denmark)
Title: The American Put Option, some numerical aspects.
Abstract:
There does not exist a closed form solution to the problem of pricing
an American Put. However, this pricing problem can be characterized as
an optimal stopping problem and in turn as a solution to a free boundary
problem. This formulation can be used for numerical experiments. We will
discuss some of the difficulties in applying the methods normally used
for such non-linear problems.
Finally we apply such a numerical procedure on some artificial example.
This will show other problems connected to this pricing issue; e.g. the
behaviour of the approximate solution when we change the grid size.
Location: TU FH, Turm A, 6. Stock, Seminarraum 107
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Web page:
http://www.fam.tuwien.ac.at/schedule/
See also:
http://www.fam.tuwien.ac.at/~vit/conf.html