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 Options
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.