报告题目：Model financial processes with jumps

报告摘要：The celebrated Black-Scholes model is based on the assumption that the underlying asset price follows a geometric Brownian motion. However, empirical studies suggest that such assumption of Gaussian distribution with finite variance does not seem to describe the dynamics of asset price properly. A feasible approach is to adopt a Levy process extending Brownian motion for the description of the price.

In the present work, we concentrate on the analytical study of both European and American options under a typical temped Levy process, the CGMY process. The decomposition formulas of the American option and the integral equation for the optimal-exercise boundary are established in explicit forms. Moreover, an analytical approximation formula is obtained for the American value. This approximation is valid when time to maturity is either very short or very long. Numerical simulations are provided for the European options, the optimal-exercise prices and the approximate values for American options.

报告时间：2016年12月21日(星期三)上午10:30

报告地点：教学二楼伟德国际1946源自英国大会议室2126

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