Speaker: Prof. Olivares, Ryerson University (Toronto)

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Venue:DM 409A

Professor Olivares from Ryerson University

Title: Pricing Basket European Contracts under Discontinuous Models by Polynomial Approximations (joint work with Alvarez, Klyueva and Villamor)

Abstract:

I present some results about pricing basket European contracts such as spreads and exchange options considering approximation techniques based on Bernstein, Chebyshev and Taylor polynomials. The dynamic of the underlying assets is driven by some classes of Levy models with finite and infinity activity, and stochastic covariance models with Inverse Gaussian subordinators as background noise.