Department of Mathematics and Statistics at the Faculty of Science
University of Calgary
Paper Review: `Analysis of valuation formulae and applications to exotic options in Levy models'
Submitted by jlongwor on Fri, 02/06/2009 - 10:55am.
Feb 12 2009 - 12:00pm
Feb 12 2009 - 12:50pm
Speaker:
Kevin Malenfant
Location:
MS 325Paper discusses the valuation problem for a broad spectrum of plain vanilla and path-dependent options in a general modeling framework, and specifically for Levy driven models. Among the derivatives which paper considers are digitals, double digitals, asset-or-nothing options, self-quantos, lookback and one-touch options.