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Probability and Computational Finance Seminar
Ryan Hynd University of California at Berkeley Title: Option pricing in the large risk aversion, small transaction cost limit Abstract: In this talk, we present a preference based option pricing model and discuss option prices in the large risk aversion, small transaction cost limit. We show that the limiting option prices satisfy a nonlinear, Black-Scholes type equation. Along the way, we will see that an eigenvalue problem appears in a crucial way; solving this problem is the central point of our work. Date: Monday, February 8, 2010 Time: 5:00 pm Location: Wean Hall 6423 |