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CCF Seminar
Yuhui Ouyang
CMU
Title: Numerical Approximation of the Valuation Equation for a Stochastic Volatility Model

Abstract: In this talk, we present convergence results for far field boundary errors resulting from numerical pricing of stochastic volatility models. For these models we obtain some required regularity results by relating Dirichlet problems to option prices bearing knock-out features. We show general convergence results for models with and without a local martingale feature, and convergence rates for Heston-type models. We conclude with some conjectures on the numerical solution of pricing models based on strict local martingales.

Date: Monday, January 20, 2014
Time: 5:00 pm
Location: Wean 8427
Submitted by:  Kasper Larsen
Note: PLEASE NOTE CHANGE OF ROOM.