Afternoon Session Continued
Speaker:
Peter Forsyth, University of Waterloo, Ken Vetzal, University of Waterloo
Date and Time:
Tuesday, February 26, 2002 - 3:15pm to 4:15pm
Location:
Fields Institute, Room 230
Abstract:
* Barrier options
* Fully implicit methods for uncertain volatility models
* Asian options: interpolation effects, comparison with forward shooting grid
* Parisian options
