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Thursday, December 05
Mathematics Colloquium: Almutairi
03:35 PM - 04:30 PM
Location: Science Center Room 323
Cost: Free and open to the public

Speaker 1: Mona Almutairi, University of Dayton

Advisor: Muhammad Islam

Title: The existence of a unique solution of a Caputo fractional differential equation

Abstract: Download pdf >

Speaker 2: Wenfeng Wu University of Dayton

Advisor: Muhammad Usman

Title: A Computational Study of Option Pricing Models

Abstract: In the financial industry, the option pricing is an important problem. There are many efficient approaches commonly applied to solve initial and boundary value problems of PDEs models of single or multi-asset option pricing. This project presents the numerical solutions to the classical Black Scholes Equation and Leland Model using an Operator Splitting method for one asset problem. In addition, we have set up algorithms without simulations for Newton's method and Alternating Direction Implicit Method. Finally, we have attempted to approximate the numerical solution to two assets Black Scholes equation for European call option. This discretization results in a large sparse linear system that is solved using Gauss-Seidel Iteration. Results are compared with the solution obtained by a closed form solution of Drezner (1978) Algorithm.

Refreshments are available at 3:00 PM in SC 313F.

The department colloquia are held every Thursday (excluding holidays) at 3:35 pm in room SC 323 unless otherwise noted. All are invited to attend.

 

Contact Information:
Name: Paul Eloe