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Seminar on Mathematics for various disciplines
Seminar information archive ～12/01｜Next seminar｜Future seminars 12/02～
| Date, time & place | Tuesday 10:30 - 11:30 056Room #056 (Graduate School of Math. Sci. Bldg.) |
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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
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.
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.
