Numerical Methods of Higher Accuracy for Option Pricing Problems-天津大学数学学院

Numerical Methods of Higher Accuracy for Option Pricing Problems

2018-12-13 00:00

Speaker: Prof. Shuhua ZHANG

unit:

Time: 2018-11-30 15:00-16:00

Venue: The Wei Jin Road No. 6 Building 111 campus teaching

starttime: 2018-11-30 15:00-16:00

Profile:

Theme：: Numerical Methods of Higher Accuracy for Option Pricing Problems

Time：: 2018-11-30 15:00-16:00

Venue：: The Wei Jin Road No. 6 Building 111 campus teaching

Speaker：: Prof. Shuhua ZHANG

Abstract

In this talk, we will discuss option pricing problems for vanilla options, options with regime switching, and CO_2 allowance options. Also, we investigate numerical methods of higher accuracy, including finite element methods, front-fixing finite element methods, and fitted finite volume methods, for the above option pricing problems.

Seminars_raw

Seminars_raw

Numerical Methods of Higher Accuracy for Option Pricing Problems

Abstract