主题：Pricing European options with stochastic volatility under the minimal entropy martingale measure
主讲人：Professor Song-Ping Zhu, University of Wollongong, Australia
主持人：经济数学学院 马敬堂教授
时间： 2015年11月17日（星期二）下午：4:00
地点：西南财经大学通博楼B412
主办单位：经济数学学院 科研处
主讲人简介：
诸教授现任澳洲卧龙岗大学数学系教授、系主任。诸教授主要从事金融衍生品定价数学模型的研究，在此领域发表论文数十篇包括金融数学顶级杂志《Mathematical Finance》、《Quantitative Finance》、《Journal of Futures Market》及其它SSCI、SCI杂志。
讲座简介：
In this talk, a closed-form pricing formula in the form of an infinite series for European call options is derived for the Heston stochastic volatility model under a chosen martingale measure. A great advantage of our newly-derived pricing formula is that the convergence of the solution in series form can be proved theoretically; such a proof of the convergence is also complemented by some numerical examples to demonstrate the speed of convergence. To further show the validity of our formula, a comparison of prices calculated through the newly derived formula is made with those obtained directly from the Monte Carlo simulation as well as those from solving the PDE (partial differential equation) with the finite difference method.
