Graduate Students
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

CCF Seminar
Alexandra Klimova
Carnegie Mellon University
Title: Algorithm for pricing path-dependent options of Asian type

Abstract: The purpose of this talk is to consider numerical methods for the 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 algorithm which is second order accurate in time will be presented. This is a preliminary talk and will discuss numerical and theoretical work done so far.

Date: Monday, May 7, 2012
Time: 5:00 pm
Location: Wean Hall 5409
Submitted by:  Steve Shreve