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Probability and Computational Finance Seminar
Alexandra Klimova
Carnegie Mellon University
Title: Numerical algorithm for pricing option of Asian type with continuous sampling

Abstract: The purpose of this talk is to consider PDEs that arise from pricing continuously monitored options of Asian type. Since these equations are hyperbolic in one dimension and parabolic in another, their numerical solution is not straightforward. An unconditionally stable algorithm which is second order accurate will be presented along with the numerical results for the Asian and Parasian options.

Date: Monday, February 18, 2013
Time: 5:00 pm
Location: Wean Hall 6423
Submitted by:  Shreve