For more information about this meeting, contact Victor Nistor, Anna Mazzucato, Manfred Denker.
| Title: | Black-Scholes type formulas for European options |
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| Seminar: | Financial Mathematics Seminar |
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| Speaker: | Manfred Denker, PSU Mathematics |
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| Abstract: |
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| 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
| Room Number: | MB106 |
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| Date: | 09 / 04 / 2012 |
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| Time: | 01:20pm - 02:20pm |
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