Perpetual American options in models with default risk and random dividends
Event details
| Date | 01.04.2009 |
| Hour | 16:15 |
| Speaker | Dr. Pavel Gapeev |
| Location |
CM 09
|
| Category | Conferences - Seminars |
We present closed form solutions to the problems of pricing of perpetual American standard options in two diffusion models of financial markets with presence of default risk. The method of proof is based on reducing the initial discounted optimal stopping problems to equivalent free-boundary problems and solving the latter by means of smooth-fit conditions. Applying the recently derived change-of-variable formula 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.
For more information, please see http://documents.epfl.ch/groups/s/se/seminar.prob/www/index.html .
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Practical information
- General public
- Free
Contact
- Prof. Robert Dalang