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NUK:Department of Applied Mathematics
2019/10/30 林玉端研究員專題演講

演講者:林玉端 研究員


日 期:2019年10月30日(星期三)14:30

地 點:國立高雄大學理學院408

講 題:A note of stochastic volatility and Asian option pricing

摘   要:

In this talk, we concern about accurate and efficient stochastic methods for Asian option pricing with uncertain volatilities. Arbitrary distributions of the volatility parameter are utilized for estimating the option pricing. Arbitrary polynomial chaos (aPC) is incorporated for approximating raw data of historical volatility distributions. Rigorous analysis is carried out in the study to ensure the numerical stability of the proposed compact aPC Crank-Nicolson finite difference method. The stochastic collocation scheme is introduced for the integral for the random field with uniform and normal distribution input. Numerical results in aPC and SC methods are compared with solutions via standard Monte Carlo schemes (MCS) and generalized polynomial chaos (gPC) with different random volatilities. The novel new schemes implemented are accurate and highly efficient for evaluating means and variances of uncertain volatility and Asian option pricing.

演講者 : 林玉端研究員
講題 : A note of stochastic volatility and Asian option pricing
演講日期 : 2019-10-30
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