※このページは北大数学COEで作成しています
第14回諸分野のための数学研究会 (北大数学COE協賛)
Seminar on Mathematics for various disciplines
Program
- 日 時：
- 2007年４月11日(水) 10:30-11:30
- 場 所：
- 東京大学大学院 数理科学研究科056号室
※会場へのアクセスは下記にてご確認下さい。
駒場アクセスマップ
http://www.u-tokyo.ac.jp/campusmap/map02_02_j.html
駒場キャンパス数理科学研究科棟
http://www.u-tokyo.ac.jp/campusmap/cam02_01_27_j.html
- 組織委員：
- 石村直之 (一橋大学)
儀我美一 (東京大学/北海道大学)
- プログラム：
-
- C. W. Oosterle（Delft University of Technology）
- The numerical treatment of pricing early exercise options under L'evy processe
- ABSTRACT:
- In this presentation we will discuss the pricing of American and Bermudan options under L'evy process dynamics. Two different approaches will be discussed:
First of all, modelling with differential operators gives rise to the numerical solution of a partial-integro differential equation for obtaining European option prices. For American prices a linear complementarity problem with the partial integro-differential operator needs to be solved. We outline the difficulties and possible solutions in this context.
At the same time we would also like to present a different pricing approach based on numerical integration and the fast Fourier Transform. Both approaches are compared in terms of accuracy and efficiency.
