Tid: 3 december 2007 kl 13.15-14.00 . OBS! Tiden.

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

Föredragshållare: Farid Bonawiede

Titel: Exercise boundaries for American option prices and related problems. (Examensarbete)

Sammanfattning: In this work, we investigate the efficiency and accuracy of pricing an American put option in the Black-Scholes model using the integral equation derived in Pham (1997). We approximate the early exercise boundary of an American option with piecewise linear splines.

We also compute European options under the jump-diffusion model, using a double exponential distribution described in Ramezani and Zeng (1999) and Kou (2002). This model fits real data better than the classical lognormal diffusion model of Black and Scholes and is also very intuitive to use.

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