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Title
Applications of PDEs to option pricing

Abstract
The pricing of European and American Options is ruled by the Black & Scholes equation. This equation is a parabolic linear PDE with degenerate and unbounded coefficients. In this talk we analyze this equation and its generalizations and study existence, uniqueness, positivity and convexity of the solutions. More general equations are also considered.

Areas of interest
Partial Differential Equations; Mathematical Finance

Speaker(s)
Vincenzo Vespri (Universidade de Florença, Itália)

Date
May 23, 2003

Time
14:30

Room
Room 5.5

 
     
 

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