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.