活动地点：

活动类型：学术报告

主讲人：Song Wang

活动时间：

活动内容：

学术报告：
Title:
On Numerical Solution of the Black-Scholer equation and inequality governing European and American Option  Valuations

by Song Wang

(School of Mathematics & Statistics, The University of Western Australia, Perth, Australia)

Time: 2006年4月4日下午3:30－4:30
Place:  数学中心202室

Abstract
In this talk I will present some of our latest advances in the numerical solution of the Black-Scholes equation and a variational inequality problem involving the Black-Scholes equation governing, respectively,  European and American option valuations. These include a penalty method for a complementarily problem and some discretization methods for the Black-Scholes equation. Both theoretical and numerical aspects of the methods will be addressed.