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Risk-neutral and Physical Jumpsin Option Pricing

主讲人: Jian CHEN
主讲人简介: Jian CHEN
School of Accounting, Finance and Management, University of Essex, UK
简介: When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carlo simulation, we investigate the important difference between riskneutral and physical jumps in option pricing, especially for mediumand long-term options.
时间: 2008年10月22日(周三)4:30PM-6:00PM
地点: 经济楼D110
类型: 独立讲座
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