Damien Lamberton - On the American put in the Heston model
|Starts:||15:00 5 May 2021|
|Ends:||16:00 5 May 2021|
|What is it:||Seminar|
|Organiser:||Department of Mathematics|
Damien Lamberton (Université Gustave-Eiffel) will speak in the Probability seminar.
We study some qualitative properties of the American put price in the Heston model.
In particular, we will dicuss the monotonicity with respect to volatility, Lipschitz properties, uniform convexity in the continuation region.
This talk is based on joint work with Giulia Terenzi.
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