Financial and Actuarial Mathematics: Time Table -------------------------------------------------------------------------- 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 -------------------------------------------------------------------------- Web page: http://www.fam.tuwien.ac.at/schedule/ See also: http://www.fam.tuwien.ac.at/~vit/conf.html