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Seminar on Mathematics for various disciplines
Seminar information archive ～04/18｜Next seminar｜Future seminars 04/19～
| Date, time & place | Tuesday 10:30 - 11:30 056Room #056 (Graduate School of Math. Sci. Bldg.) |
|---|
2007/04/11
10:30-11:30 Room #056 (Graduate School of Math. Sci. Bldg.)
C. W. Oosterlee (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 (Delft University of Technology)
The numerical treatment of pricing early exercise options under L'evy processes
[ Abstract ]
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.
[ Reference 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/
