Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Optimal Pricing of American Type Options for Modulated Price Processes
Submitted by jlongwor on Tue, 05/20/2008 - 12:06pm.
May 22 2008 - 12:00pm
May 22 2008 - 1:00pm
Speaker:
Dmitrii Silvestrov, Analytical Finance Group Leader, Mathematics and Physics, Malardalen University, Vasteras, Sweden
Location:
MS 569This lecture presents a survey of the latest results on option optimal pricing for modulated price processes achieved by the author and his collaborators. These results are: discovery of multi-threshold
structure of optimal stopping strategies for option models with general convex payoffs and formulation of conditions, which implicate multi- and one-threshold structures for optimal stopping strategies; introduction and investigation of new models of pricing processes modulated by semi-Markov market indices; obtaining of skeleton approximations, uniform with respect to a perturbation parameter, for continuous- and discrete-time option pricing models; finding of new effective general conditions for
convergence of option reward functions; constraction of effective Monte Carlo algorithms for pricing of options based on information about structure of optimal stopping domains, experimental software for pricing of options, and the latest achievements are connected with stochastic models for reselling of options.
structure of optimal stopping strategies for option models with general convex payoffs and formulation of conditions, which implicate multi- and one-threshold structures for optimal stopping strategies; introduction and investigation of new models of pricing processes modulated by semi-Markov market indices; obtaining of skeleton approximations, uniform with respect to a perturbation parameter, for continuous- and discrete-time option pricing models; finding of new effective general conditions for
convergence of option reward functions; constraction of effective Monte Carlo algorithms for pricing of options based on information about structure of optimal stopping domains, experimental software for pricing of options, and the latest achievements are connected with stochastic models for reselling of options.