数学系学术报告 Mathematics Department Colloquium
2012.12.14 (周五) 13:30-14:30，工商楼 2 楼报告厅
The Evaluation of Barrier Option Prices
Under Stochastic Volatility
Professor Carl Chiarella
Emeritus Professor, Head of Finance Discipline Group
University of Technology, Sydney (Australia)
Abstract
In this talk we consider the problem of numerically evaluating barrier
option prices when the dynamics of the underlying are driven by stochastic
volatility following the square root process of Heston (1993). We develop a
method of lines approach to evaluate the price as well as the delta and
gamma of the option. The method is able to efficiently handle both
continuously monitored and discretely monitored barrier options and can
also handle barrier options with early exercise features. In the latter case,
we can calculate the early exercise boundary of an American barrier option
in both the continuously and discretely monitored cases.
Introduction
Professor Chiarella completed the MCom (Hons) in
economics at the University of New South Wales and took out a PhD
in economics in 1987 from the same University for a thesis in
economic dynamics. He joined the School of Banking and Finance
at the University of New South Wales in 1986 as a senior lecturer
and was appointed Associate Professor in 1988. He took up the
position of Professor of Finance at the University of Technology,
Sydney in 1989, a position from which he retired early in 2004 as an
Emeritus Professor. He returned to the School as a Professor of
Quantitative Finance in mid-2005. Carl has held visiting
appointments at a number of universities including University of
Kyoto, Nanyang Technological University, Hitotsubashi University,
Tokyo Metropolitan University, University of Bielefeld and University
of Urbino.
Professor Chiarella is the author of over 150 research articles in
international and national journals and edited volumes and the
author/coauthor of 5 books. Carl is a Co-Editor of the Journal of
Economic Dynamics and Control and Associate Editor of Journal of
Economic Behavior and Organization, Quantitative Finance, Studies
in Nonlinear Dynamics and Econometrics and European Journal of
Finance.
联系人：李胜宏 教授 （shli@zju.edu.cn）
骆兴国
讲师 （xgluo@zju.edu.cn）
欢迎老师和同学参加！