报告题目: Pricing an American call under stochastic volatility and interest rates

报告人: Boda Kang

（Lecturer in Mathematical Finance, Department of Mathematics, University of York）

摘要: This paper discusses the problem of pricing an American call option when the underlying dynamics follow the Heston's stochastic volatility and the Cox-Ingersoll-Ross (CIR) stochastic interest rate. We use a partial differential equation (PDE) approach to obtain a numerical solution. The call is formulated as a free boundary PDE problem on a finite computational domain with appropriate boundary conditions. It is solved with the time discrete method of lines which is found to be accurate and efficient in producing option prices, early exercise boundaries and option hedge ratios like delta and gamma. The method of lines results are compared with those from a finite difference approximation of the corresponding linear complementarity formulation which were obtained with PSOR and the Sparse Grid approach. The approach is currently being applied to price guaranteed minimum maturity benefits under stochastic volatility and stochastic interest rates.

报告时间：2016年3月17日（周四）上午10:00-11:30

报告地点：中央财经大学中国精算研究院会议室506

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