For more information about this meeting, contact Victor Nistor, Anna Mazzucato, Manfred Denker.
|Title:||Black-Scholes type formulas for European options|
|Seminar:||Probability and Financial Mathematics Seminar|
|Speaker:||Manfred Denker, PSU Mathematics|
|The classical Cox-Ross-Rubinstein model assumes that the option price of a risky asset jumps up by a factor of $u$ or drops down by a factor $d$ in one time unit.
We take a more general viewpoint that one has several possibilities of this type, and derive the option price as a function of the jump sizes and the probability of
occurrences of these hedging options. This is done as in the classical case as a space time approximation of a continuous limit model. The advantage of such a model is that the error bounds of the option price are better to control.|
Room Reservation Information
|Date:||09 / 04 / 2012|
|Time:||01:20pm - 02:20pm|