Numerical Pricing of American Options
Dr. Hongtao Yang
Department of Mathematical Sciences
UNLV
Abstract
In the first part of the talk, I shall introduce the elements of
options and the seminal work of Black and Scholes in theory of rational option
pricing. The free boundary problem for American options on stocks is also
proposed. The second part of the talk focuses on our recent work in numerical
pricing of American options on stocks and zero-coupon bonds. I shall conclude
the talk with briefing our current working projects.