Mathematics for various disciplines The numerical treatment of pricing early exercise options under L'evy processes
 Date

20070411 10:30 
20070411 11:30
 Place
 Graduate School of Mathematical Sciences the University of Tokyo, Room #056

Speaker/Organizer
 C. W. Oosterlee （Delft University of Technology）

 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 partialintegro differential equation for obtaining Europeanoption prices. For American prices a linear complementarity problem with thepartial integrodifferential operator needs to be solved. We outline thedifficulties and possible solutions in this context. At the same time we would also like to present a different pricing approachbased on numerical integration and the fast Fourier Transform. Both approachesare compared in terms of accuracy and efficiency.
http://coe.math.sci.hokudai.ac.jp/sympo/various/index_en.html