SMS scnews item created by Anna Aksamit at Fri 11 Jun 2021 1218
Type: Seminar
Distribution: World
Expiry: 25 Jun 2021
Calendar1: 16 Jun 2021 1400-1500
CalLoc1: zoom talk
CalTitle1: Stochastics and Finance: Ashwaq Zarban -- Pricing European Exchange Options under a Double Regime-Switching Jump-Diffusion model
Auth: aksamit@paksamit.pc (assumed)

Stochastics and Finance seminar: Ashwaq Zarban -- Pricing European Exchange Options under a Double Regime-Switching Jump-Diffusion model

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Wednesday
June 16 at 2pm Ashwaq Zarban will give a talk via Zoom.  

Zoom link: https://uni-sydney.zoom.us/j/87491585109 

Speaker: Ashwaq Zarban (UNSW) 

Title: Pricing European Exchange Options under a Double Regime-Switching Jump-Diffusion
model 

Abstract: 

In this talk, we propose a pricing formula for European exchange options, where the
dynamics of the underlying assets are driven by a double regime-switching
jump-diffusion.  We assume both the model parameters and the price level of the risky
share depend on a continuous-time, finite-state, observable Markov chain.  Our result is
an extension of Cheang and Chiarella (2011), who have priced European exchange options
under the jump-diffusion setting, and Shen, Fan and Siu (2014), who have priced European
call options under a double regime-switching model.  An analytical option pricing
formula is obtained by using the inverse Fourier transform.  

https://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


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