Tid: 26 februari 2001 kl 1615-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Jens Carlsson.

Titel: An Approximation Formula for an Asian Option on a Foreign Equity Basket

Sammanfattning: We suggest an approximation formula for an Asian option on a foreign equity basket. The underlying basket is a weighted sum of stocks noted in different currencies. Floating exchange rates are used to value the basket. The stocks pay absolute and discrete dividends at known times. The results are compared to Monte Carlo simulations.

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