Second order correction of European down and out options
主 题: Second order correction of European down and out options
报告人: 姜祖恕 教授 (Institute of Mathematics, Academia Sinica)
时 间: 2015-12-22 15:00-16:00
地 点: 304am永利集团理科一号楼1418
For the usual Black-Scholes model where the volatility is a function of a fast varying mean-reverting diffusion, we consider the problem of pricing an European down and out option. The uniform asymptotic expansion up to second order are explicitely obtanied. In addition to the outer and inner expansions that are used in pricing European options , we need to include a third boundary expansion for the barrier options. This is a joint work with Chen Wei-Da and Hsu Shan-Chi.
