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諸分野のための数学研究会
過去の記録 ～06/07｜次回の予定｜今後の予定 06/08～
| 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
http://coe.math.sci.hokudai.ac.jp/
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 ]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.
http://coe.math.sci.hokudai.ac.jp/
