Date: Thursday, March 08, 2012
Location: 1360 East Hall (3:00 PM to 4:00 PM)
Title: American-style derivatives:
State space representation and filtering techniques
Abstract: The Mathematical formulation of the price of an American-style derivative under the no arbitrage option valuation theory is well established. However, studies on the computational problems of the value of timing investment decision have continued today, yielding occasionally new insight into the development of robust and more efficient computational techniques. The main aim of my PhD research is to study different formulations of American options valuation, as well as existing computational techniques with the goal of obtaining a general state space representation of the value of an American option. Once the state space form is set up, appro- priate filtering technique is employed to obtain the price of the option. In this talk, I will use the classical example of American Put option to illustrate the idea of state space representation of the value of American style derivative. Numerical examples will be presented as well.
Speaker: Dennis Ikpe
Institution: University of Cape Town
Event Organizer: Erhan Bayraktar erhan@umich.edu
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