Lunedì 4 maggio alle ore 14:30 Online su piattaforma Zoom
la prof. Lucia Caramellino dell'Università di Roma - Tor Vergata
terrà il seminario dal titolo
CONVERGENCE RATE OF A HYBRID NEUMRICAL METHOD FOR PRICING OPTIONS
Abstract:
We study the rate of weak convergence of Markov chains to diffusion processes under suitable but quite general assumptions. We give an example in the financial framework, applying the convergence
analysis to a multiple jumps tree approximation of the CIR process. Then, we combine the Markov chain approach with other numerical techniques in order to handle the different components in jump-diffusion coupled models. We study the speed of convergence of
this hybrid approach and we provide an example in finance, applying our results to a tree-finite difference approximation in the Heston or Bates model. From some joint works with Maya Briani, Giulia Terenzi and Antonino Zanette.
tutti gli interessati sono benvenuti
Fabio Antonelli
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