Campuses:

option pricing

Wednesday, October 3, 2018 - 2:45pm - 3:30pm
Velibor Misic (University of California, Los Angeles)
Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward; this arises in numerous application areas, such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional optimal stopping involve determining an approximation to the value function or to the continuation value, and then using that approximation within a greedy policy.
Thursday, June 14, 2018 - 11:00am - 11:50am
Hailiang Yang (University of Hong Kong)
Motivated by the Guaranteed Minimum Death Benefits in various deferred annuities, we investigate the calculation of
the expected discounted value of a payment at the time of death. The payment depends on the price of a stock at that
time and possibly also on the history of the stock price. If the payment turns out to be the payoff of an option,
we call the contract for the payment a (life) contingent option. Because each time-until-death distribution can be approximated
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