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报告题目: Stochastic Black-Scholes equation for option pricing under rough volatility
报 告 人: Dr. Jiniao Qiu
报告人所在单位: University of Calgary, Canada
报告日期: 2022-09-23
报告时间: 9:30-10:30
报告地点: 腾讯会议号: 338-911-098 会议密码: 200433
   
报告摘要:

Rough volatility is a pretty new paradigm in finance. We shall talk about the option pricing problems for rough volatility models.As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic partial differential equation (BSPDE) or so-called stochastic Black-Scholes equation.The wellposedness of such kind of BSPDEs and associated Feynman-Kac representationswill be discussed.These BSPDEs are then used to approximate American option prices. Moreover, a deep leaning-based method is also proposed and investigatedfor the numerical approximations tosuch BSPDEs and associated non-Markovian pricing problems. Two numerical examples will be presented for both European and American options. This talk is based on joint work with Christian Bayer and Yao Yao.

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本年度学院报告总序号: 539

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