21st Seminar on Mathematics for various disciplines
Outline
- Period :
- 16:30-17:30 January 8, 2009
- Place :
- Graduate School of Mathematical Sciences the University of Tokyo, Room #056
- Sponsored by “Global COE Program 'The research and training center for
new development in mathematics', University of Tokyo”
- Programme :
-
- Kazufumi Ito(North Carolina State University)
- Title: Calibration problems for Black-Scholes American Options under the GMMY process
- ABSTRACT:
- The calibration problem is formulated as a control problem for the parabolic variational inequality. The well-posedness of the formulation is discussed and the necessary optimality is derived. A numerical approximation method is also presented.