Thursday, November 30
Mathematics Colloquium
03:35 PM - 04:30 PM
Location: Science Center Room 323
Cost: Free

Speaker: Ying Ding, University of Dayton 

Host: Ruihua Liu

Title: Spread option pricing with two underlying assets in a regime-switching model

Abstract: In this project I used an efficient lattice approach for option pricing with two underlying assets whose prices are governed by regime-switching models. In the lattice construction, the jump amplitudes are specified in a way such that the lattice achieves complete node recombination along each asset variable and grows quadratically as the number of time steps increases. The jump probabilities are obtained by solving a related quadratic programming problem. The lattice is used to price spread options on two assets in different regimes. Numerical results are provided and compared for the European spread options with a Monte-Carlo simulation approach. Numerical results for different parameter values (e.g., number of sample paths, strike price, switching rates between regimes, etc.) are reported and compared.

Refreshments are available at 3:00 PM in SC 313F.

The department colloquia are held every Thursday (excluding holidays) at 3:35 pm in room SC 323 unless otherwise noted. All are invited to attend. 

Contact Information:
Name: Paul Eloe