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DTSTART:20240310T080000
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DTSTART;TZID=America/Chicago:20240419T120000
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SUMMARY:Semi-analytic pricing of American options in some time-dependent jump-diffusion models
DESCRIPTION:Speaker: Prof. Andrey Itkin\, Department of Risk and Financial Engineering\, Tandon School of Engineering\, NYU \nAbstract: In this paper we propose a semi-analytic approach to pricing American options for some time-dependent jump-diffusions models. The idea of the method is to further generalize our approach developed for pricing barrier\, [Itkin et al.\, 2021]\, and American\, [Carr and Itkin\, 2021; Itkin and Muravey\, 2023]\, options in various time-dependent one factor and even stochastic volatility models. Our approach i) allows arbitrary dependencies of the model parameters on time; ii) reduces solution of the pricing problem for American options to a simpler problem of solving an algebraic nonlinear equation for the exercise boundary and a linear Fredholm-Volterra equation for the the option price; iii) the options Greeks solve a similar Fredholm-Volterra linear equation obtained by just differentiating Eq. (25) by the required parameter.
URL:https://www.math.ttu.edu/mathematicalfinance/event/semi-analytic-pricing-of-american-options-in-some-time-dependent-jump-diffusion-models/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/itkin.jpg
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