For more information about this meeting, contact Anna Mazzucato, Manfred Denker, Victor Nistor.
| Title: | Option pricing by analytical approximations to solutions of parabolic PDEs |
|---|
| Seminar: | Financial Mathematics Seminar |
|---|
| Speaker: | Wen Cheng, PSU |
|---|
| Abstract: |
|---|
| One way to price European options is to solve the
associated parabolic equations. Therefore many
numerical methods (FDM,FEM,etc) can be applied. From
the calibration point of view, a better alternative
is to solve the parabolic equations analytically. In
this talk I will first derive the pricing equations
for European options by a no-arbitrage argument, and
then present the newly developed Dyson-Taylor
Commutator method that can be used to approximate
the Green's functions (pricing kernel) of parabolic
equations, as a result the European option price is
just the convolution of the pricing kernel and the
payoff function. In the end, numerical comparison
will be provided and open problems will also be
discussed. |
Room Reservation Information
| Room Number: | MB315 |
|---|
| Date: | 02 / 15 / 2011 |
|---|
| Time: | 04:00pm - 05:00pm |
|---|
