[FAM-news] FAM Seminar: THURSDAY

Victor Olevskii vit@fam.tuwien.ac.at
Tue, 10 Jul 2001 14:30:26 +0200

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.

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