Elliptic and parabolic partial differential equations arising in option pricing problems involving the Cox-Ingersoll-Ross or Heston stochastic processes are well-known to be degenerate parabolic. We provide a report on our work on the existence, uniqueness, and regularity questions for variational inequalities involving degenerate parabolic differential operators and applications to American-style option pricing problems for the Heston model. This is joint work with Panagiota Daskalopoulos (Department of Mathematics, Columbia University) and Camelia Pop (Department of Mathematics, Rutgers University) will repeat my recent presentation at the Kolmogorov Equations in Physics and Finance conference in Modena, Italy.
Speaker: Paul Feehan, Rutgers University
Slides: ( PDF)
Event Details
American-style options, stochastic volatility, and degenerate parabolic variational inequalities
- Event Date: September 28, 2010
- Event End Date: September 28, 2010
- Event Start Time: 11:00 AM
- Event End Time: 12:00 PM
- Event Location: Hill 705
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Speaker: Paul Feehan, Rutgers University