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Numerical Methods of Higher Accuracy for Option Pricing Problems

2018-11-30 15:00

报告人: 张书华【天津财经大学】

报告人单位:

时间: 2018-11-30 15:00-16:00

地点: 卫津路校区第六教学楼111

开始时间: 2018-11-30 15:00-16:00

报告人简介:

年:

日月:

报告人简介

天津财经大学教授

报告内容介绍

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.

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