Tid: 27 mars 2007 kl 09.15-10.00 (OBS! Dag, tid och lokal!)

Plats : Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Andreas Runnemo

Titel: A canonical optimal stopping problem under a double exponential jump diffusion. (Examensarbete)

Sammanfattning: We investigate an approach for computing American option prices under jump diffusions. The model used for the jump diffusion process is based on the standard Merton framework. For modelling the jump part we use a double exponential distribution described by Ramezani and Zeng and by Kou. According to studies by Ramezani and Zeng the double exponential distribution agrees well with real data.

To compute the prices we first perform a space-time transformation reducing the optimal stopping problem to a standard Brownian motion in a way very similar to the method used by AitSahlia and Lai. In these new variables we then compute the prices using an extended Bernoulli random walk. We also show that this new optimal stopping boundary can be well approximated by piecewise linear splines.

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