諸分野のための数学研究会

過去の記録 ~03/28次回の予定今後の予定 03/29~

開催情報 火曜日 10:30~11:30 数理科学研究科棟(駒場) 056号室
担当者 儀我美一、石村直之(中央大学)、齊藤宣一、山本昌宏
セミナーURL http://coe.math.sci.hokudai.ac.jp/sympo/various/
目的 北海道大学のHPには、第1回(2005年6月22日)~第22回(2009年2月18日)の情報が掲載されております。

2007年04月11日(水)

10:30-11:30   数理科学研究科棟(駒場) 056号室
C. W. Oosterlee 氏 (Delft University of Technology)
The numerical treatment of pricing early exercise options under L'evy processes
[ 講演概要 ]
In this presentation we will discuss the pricing of American and Bermudan options under L'evy process dynamics.

Two different approaches will be discussed: First of all, modelling with differential operators gives rise to the numerical solution of a partial-integro differential equation for obtaining European option prices. For American prices a linear complementarity problem with the partial integro-differential operator needs to be solved. We outline the difficulties and possible solutions in this context.

At the same time we would also like to present a different pricing approach based on numerical integration and the fast Fourier Transform. Both approaches are compared in terms of accuracy and efficiency.
[ 参考URL ]
http://coe.math.sci.hokudai.ac.jp/