Numerical Analysis Seminar Talk, September 25, 1996
Speaker:
Professor, Junping Wang,
Department of Mathematics, University of Wyoming
Title:
On the Valuation of American Options
Time:
4:00pm, Wednesday, September 25, 1996
Place:
503 Blocker
Abstract:
An option is a right to buy or sell designated securities
or commodities at a specified price during the period of
the contract. An American option is one which may be
exercised before the expiration date, while an European
option can be exercised only on the expiration date.
In this talk, we shall introduce the basic concepts and
the mathematical equation for option pricing problems.
The equation is known as a free boundary value problem
for a parabolic equation. We shall derive a weak form
and discuss the uniqueness and existence for weak solutions.
Numerical approximation by finite element methods shall be
discussed if time permits.
