Dear All, You are kindly invited to attend the next Stochastics and Finance seminar. On Tuesday July 28 at 2pm (Sydney time) Kris Wu will give a talk via Zoom. Zoom link: https://uni-sydney.zoom.us/j/93295992639 Speaker: Kris Wu (UNSW) Title: Valuation of American VIX Call Options under the Generalized Mixture Model Abstract: In this paper, we study the pricing of American VIX call option under generalized mixture of 3/2 and 1/2 (Heston) models. According to Detemple and Kitapbayev (2018), there are two optimal stopping boundaries under this mixture model. By taking the Laplace-Carson transform of the free-boundary problem, we were able to obtain numerically the optimal stopping boundaries and the price of American VIX call option. In addition, we also derive a closed form formula for the price of a perpetual American VIX call option. http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html Please feel free to forward this message to anyone who might be interested in this talk. Kind regards, Anna