Seminars & Colloquia Calendar
Derivative pricing models with jumps
Triet Pham, Rutgers University
Location: Hill 705
Date & time: Tuesday, 29 January 2019 at 12:00PM - 1:00PM
Abstract: In this talk, we discuss the asset model driven by a Brownian motion and a Poisson process. We first present the stochastic calculus rules used to derive the explicit formula for the asset. Next we present the derivative pricing approach using risk neutral expectation. Finally we derive the partial differential difference equation (PDDE) representation of the derivative price.
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