21st Seminar on Mathematics for various disciplines



Period :
16:30-17:30 January 8, 2009
Place :
Graduate School of Mathematical Sciences the University of Tokyo, Room #056
Sponsored by “Global COE Program 'The research and training center for new development in mathematics', University of Tokyo”
Programme :
Kazufumi Ito(North Carolina State University)
Title: Calibration problems for Black-Scholes American Options under the GMMY process
The calibration problem is formulated as a control problem for the parabolic variational inequality. The well-posedness of the formulation is discussed and the necessary optimality is derived. A numerical approximation method is also presented.