For more information about this meeting, contact Xiantao Li, Yuxi Zheng, Kris Jenssen, Jinchao Xu.
|Title:||American-style options, stochastic volatility, and degenerate parabolic variational inequalities|
|Seminar:||Computational and Applied Mathematics Colloquium|
|Speaker:||Paul Feehan, Rutgers|
|Abstract: Elliptic and parabolic partial differential equations arising in option pricing problems involving stochastic volatility processes are well-known to be degenerate parabolic. We provide a report on our work on the existence, uniqueness, and regularity questions for variational inequalities involving degenerate parabolic differential operators and applications to American-style option pricing problems for stochastic volatility processes typically encountered in finance. This is joint work with Panagiota Daskalopoulos (Department of Mathematics, Columbia University) and Camelia Pop (Department of Mathematics, Rutgers University).|
Room Reservation Information
|Date:||10 / 22 / 2010|
|Time:||03:35pm - 04:25pm|