KTH Matematik |

Seminarierummet 3721, Institutionen för
matematik, KTH, Lindstedts väg 25, plan 7.
Karta!
Vid seminariet den 20 oktober diskuteras Ali Hamdis avhandling för tekn.lic.-examen:
Inbjuden diskutant är Professor Said Hamadčne, Université du Maine, Le Mans, Frankrike.
The second paper uses the Snell envelope to formulate the fair price of Bermudan options. To evaluate this formulation of the price, the optimal stopping strategy for such a contract must be estimated. This may be done recursively if some method of estimating conditional expectations is available. The paper focuses on nonparametric estimation of such expectations, by using regularization of a least-squares minimization, with a Tikhonov-type smoothing put on the partial differential equation which characterizes the underlying price processes. This approach can hence be viewed as a combination of the Monte Carlo method and the PDE method for the estimation of conditional expectations. The estimation method turns out to be robust with regard to the size of the smoothing parameter. |

Sidansvarig: Filip Lindskog Uppdaterad: 25/02-2009 |