Monday, July 13

MS10
Computational Methods for Option Pricing

2:00 PM-4:00 PM
Room: Sidney Smith 1069

Financial options are widely used in order to reduce risk. A topic of much practical importance concerns the determination of the value of these options. Many of the options which are commonly traded cannot be priced using analytical techniques. It is therefore important for practioners to have access to robust and accurate numerical methods for pricing a wide variety of options. The speakers in this minisymposium will discuss a range of computational issues, such as callibration of models, pricing of exotice options, and direct integration methods for solution of the underlying stochasitic differential equations. This minisympoium will be of interest to both financial practioners and researchers interested in the application of sophisticated compuational methods to practical option pricing problems.

2:00 The Black-Derman-Toy Model and Its Calibration

Yong Wang and Brian Ding, Royal Bank of Canada, Toronto, Canada

2:30 Pricing of Discrete Parisian Options

Ken Vetzal and Peter Forsyth, Organizers

3:00 A Unify Credit Model

Dennis Wong, Scotia Capital Markets, Toronto, Canada and Carnegie Mellon University; Alain Belanger, Scotia Capital Markets, Toronto, Canada; and Steve Shreve, Carnegie Mellon University

3:30 High-Order Stochastic Runge-Kutta Methods for Financial Applications

Kevin Burrage and Pamela Burrage, The University of Queensland, Australia