Morning Session
Speaker:
Peter Forsyth, University of Waterloo, Ken Vetzal, University of Waterloo
Date and Time:
Monday, February 25, 2002 - 9:00am to 10:30am
Location:
Fields Institute, Room 230
Abstract:
* Introduction, comparison of PDE, Monte Carlo, Lattice methods
* Basic discretization methods
* Stability
* Causes of oscillations in Delta and Gamma
* Positive coefficent discretizations
* Smoothing discontinuous payoffs (projection, averaging)
* American options: the penalty method
* Implicit vs. explicit handling of the American constraint
* Timestep selection
* Discretely observed barriers
* Discrete non-proportional dividends
