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Damien Lamberton - On the American put in the Heston model

Dates:5 May 2021
Times:15:00 - 16:00
What is it:Seminar
Organiser:Department of Mathematics
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  • In category "Seminar"
  • In group "(Maths) Probability and statistics"
  • By 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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https://zoom.us/j/96167780668

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Sebastian Andres

sebastian.andres@manchester.ac.uk

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