主 题：Advancing the universality of quadrature methods to any underlying process for option pricing
主讲人：英国诺丁汉大学商学院 David Newton 教授
主持人：经济信息工程学院 吴恒煜教授
时 间：2015年4月30日 下午15：00-16：30
地 点：颐德楼H314
主办单位：经济信息工程学院 科研处
主讲人简介：
David Newton，英国诺丁汉大学商学院金融学教授，主要从事衍生品定价、金融工具和市场研究，在Journal of Financial Economics、Mathematical Finance、Journal of Derivatives和Journal of Futures Markets等期刊上发表论文多篇。
内容提要：
Exceptional accuracy and speed for option pricing are available via quadrature (Andricopoulos, Widdicks, Duck, and Newton, 2003), extending into multiple dimensions with complex path-dependency and early exercise (Andricopoulos, Widdicks, Newton, and Duck, 2007).
However, the exposition is incomplete, leaving many modelling processes outside the Black-Scholes-Merton framework unattainable. We show how to remove the remaining major block to universal application. Although this had appeared highly problematic, the solution turns out to be conceptually simple and implementation is straightforward. Crucially, the method retains its speed and flexibility across complex combinations of option features but is now applicable across other underlying processes.
