[Probabilidad-Estadistica-Seminario] Fabián Crocce/primera sesion de 2015

[mordecki en cmat.edu.uy]

Estimados:

El viernes a las 10 30 expone Fabián Crocce en el seminario de Probabilidad 
y Estadística.

Tema: Análisis de error en métodos de Fourier para valuar opciones (ver 
resumen abajo)

A las 12 almorzamos en Solanas (Solferino y Comercio) 

Los esperamos!

Ernesto
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Abstract. We provide a bound for the error committed when using a Fourier 
method to price a european option when the underlying follows an 
exponential L ́evy dynamic. The price of the option is described by a 
partial-integro-differential equations (PIDE). Applying a Fourier transform 
to the PIDE an ordinary differential equation is obtained and solved 
analytically in terms of the characteristic exponent of the L ́evy process. 
Then, a numerical inverse Fourier transform allows us to obtain the option 
price. We present a novel bound for the error and use this bound to set the 
parameters for the numerical method. We analyse the properties of the bound 
and provide some examples of its use.