Seminar on Mathematics for various disciplines

Seminar information archive ~06/22Next seminarFuture seminars 06/23~

Date, time & place Tuesday 10:30 - 11:30 056Room #056 (Graduate School of Math. Sci. Bldg.)

2009/01/08

16:30-17:30   Room #056 (Graduate School of Math. Sci. Bldg.)
伊東一文 (North Carolina State University)
Calibration problems for Black-Scholes American Options under the GMMY process
[ Abstract ]
The calibration problem is formulated as a control problem for the parabolic variational inequality. The well-posedness of the formulation is discussed and the necessary optimality is derived. A numerical approximation method is also presented.