Mathematical Sciences Department, Financial Math Seminar - Frederick Miller, WPI Student "Risk Indifference Pricing for American Put Options" SH 202

April 3, 2023
Floor/Room #

Mathematical Sciences Department

Financial Mathematics Seminar

Speaker: Frederick Miller, WPI Student

Monday, April 3, 2023

12:00 pm - 1:00 pm

Stratton Hall 202

Title: Risk Indifference Pricing for American Put OptionsĀ 

Abstract: In this talk, I will discuss risk indifference pricing of American Put Options from the Buyer's and Seller's Perspective. We use reflected backwards stochastic differential equations (RBSDEs) to model these options. First, we will go through some key theoretical results of RBSDEs, as well as a deep learning approach to numerically approximate their solutions. We will then present new work on the Buyer's and Seller's indifference price of American Put Options under a stochastic volatility model. We provide a framework for computing these solutions as well as a numeric example.



Mathematical Sciences