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SUMMARY:Perpetual American options in models  with default risk and random
  dividends
DTSTART:20090401T161500
DTSTAMP:20260609T072228Z
UID:ecaaf1bbfbda1e3029d99a6dba95e3c7cdfac0017eb63d18829caa52
CATEGORIES:Conferences - Seminars
DESCRIPTION:Dr. Pavel Gapeev\nWe present closed form solutions to the prob
 lems of pricing of perpetual American standard options in two diffusion mo
 dels of financial markets with presence of default risk. The method of pro
 of is based on reducing the initial discounted optimal stopping problems t
 o equivalent free-boundary problems and solving the latter by means of smo
 oth-fit conditions. Applying the recently derived change-of-variable formu
 la with local time on surfaces\, we verify that the obtained solutions of 
 the free-boundary problems turn out to be solutions of the initial optimal
  stopping problems.\n\nFor more information\, please see http://documents.
 epfl.ch/groups/s/se/seminar.prob/www/index.html .
LOCATION:CM 09
STATUS:CONFIRMED
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