PDE Seminar

Title: Convergence of Binomial Tree Methods for American Path- Dependent Options
Speaker: Professor Lishang Jiang
Speaker Info: University of Iowa and Tongji University (Shanghai)
Brief Description:
Special Note:

Path-dependent options are options whose payoffs depend on historical values of the underlying asset over a given time period as well as its current price.The BTM is the most popular approach to price options in finance. We employ numerical analysis and the notion of viscosity solutions to show uniform convergence of BTM for American path-dependent options, including Asian arithmetic average options and Asian geometric average options and lookback options.

Date: Thursday, March 15, 2001
Time: 4:10pm
Where: Lunt 105
Contact Person: Prof. Gui-Qiang Chen
Contact email: gqchen@math.northwestern.edu
Contact Phone: 847-491-5553
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