Congratulations to our Science Internship Day Presenters
Saturday, September 27, 2014
This annual event featured Science Interns returning from work terms sharing their valuable experiences.
You may know some of the Actuarial Science students below as friends and class mates.
Justin Dilley -- London Life (presents from 9:20 am to 9:40)
Sabeeha Hussein -- Aon Hewitt (9:40 to 10:00)
Coulter Smith -- London Life (10:00 to 10:20)
Kevin Rhee -- Sun Life (10:20 to 10:40)
Nicole Page -- London Life (10:40 to 11:00)
Colloquium (Thursday, October 02, 2014) Time: 3:30pm-4:30pm and Room: WSC 248 Speaker: Dr. Marianito Rodrigo - University of Wollongong, New South Wales, Australia Title: Valuation of American options with general payoffs
In this talk we consider the valuation of American options with general payoffs, which can be formulated as a free boundary problem for the Black-Scholes partial differential equation with time-varying parameters.
We provide an analytical valuation formula, that is, an exact formula for the option price and an exact first-order ordinary differential equation for the optimal exercise boundary. As special cases, we give valuation formulas for the American put and call options. Although analytically intractable, the ordinary differential equation can easily be solved numerically. Numerical simulations yield excellent agreement with the results via the binomial method. Our approach makes use of the Mellin transform for the option price and the Laplace transform for the ordinary differential equation.
This is joint work with Rogemar Mamon (Western University).