BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Mathematical Finance - ECPv5.7.0//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
BEGIN:VTIMEZONE
TZID:America/Chicago
BEGIN:DAYLIGHT
TZOFFSETFROM:-0600
TZOFFSETTO:-0500
TZNAME:CDT
DTSTART:20240310T080000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:-0500
TZOFFSETTO:-0600
TZNAME:CST
DTSTART:20241103T070000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240126T120000
DTEND;TZID=America/Chicago:20240126T130000
DTSTAMP:20260520T084207
CREATED:20231114T173732Z
LAST-MODIFIED:20231115T151421Z
UID:1214-1706270400-1706274000@www.math.ttu.edu
SUMMARY:On subordinated generalizations of 3 classical models of option pricing
DESCRIPTION:Speaker: Dr. Grzegorz Krzyżanowski\, Hugo Steinhaus Center\, Faculty of Pure and Applied Mathematics\, Wroclaw University of Science and Technology \nAbstract: We will investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models\, in contrast to their classical equivalents\, can be used in markets where periods of stagnation are observed. We will introduce the subordinated Cox-Ross-Rubinstein model and prove that the price of the underlying in that model converges in distribution and in Skorokhod space to the price of underlying in the subordinated Black-Scholes model. Motivated by this fact we will price the selected option contracts using the binomial trees. The comparison to other numerical methods will be provided.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-subordinated-generalizations-of-3-classical-models-of-option-pricing/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/gk-scaled.jpg
END:VEVENT
END:VCALENDAR