活动地点：

活动类型：学术报告

主讲人：Yuncheng YOU (尤云程 教授）

活动时间：

活动内容：

Title: Mathematical modeling and analysis of options with jump-diffusion valitility
 
Speaker: Prof. Yuncheng YOU (尤云程 教授）
 
Department of Mathematics and Statistics
University of South Florida
 
Abstract: A new financial option pricing model is derived, which assumes
that underlying stock price follows a diffusion process with square-root
stochastic volatility and that the volatility itself is mean-reverting and
driven by both diffusion and compound Poisson process. These assumptions
better reflect the randomness and jumps that are readily observable from
historical data and becoming more apparent in current global financial
market. The option price is modeled by a linear, second-order partial
integro-differential equation (PIDE) with variable coefficients. Using the
combined Fourier-Laplace transformation method, a closed-form solution for
the PDE part of the model and the corresponding priceformulas of European
call/put options are obtained. This pricing formula contributes a
substantial correction of the popularly used Heston's formula by brokers.
Seeking for a closed-form, exact solution of the entire PIDE model involves
some special functions and remains an ongoing research.