Tuesday, January 12, 2010

On some generalizations of the Black and Scholes model

Pablo Amster
(Universidad de Buenos Aires)

Abstract: In this talk, we shall present some generalizations of the well known Black-Scholes equation for option pricing. In particular, we shall give an existence result for a nonlinear integro-differential equation arising in a Black-Scholes models with jumps due to Merton.

Tuesday, January 12, 2010
Time: 17h30
Room: Sala Delta, Edificio Quelhas, ISEG