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

CCF 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