Apr 2021-Mar 2022

Math-Fi seminar on 26 Aug.

2021.08.26 Thu up
  • Date: 26 Aug. (Thu.)
  • Place: On the Web
  • Time: 16:30 – 18:00
  • Speaker: Yuri Imamura (Kanazawa University)
  • Title: Static Hedge via Parametrix and Symmetrization
  • Abstract:
A scheme to construct an asymptotic expansion of static hedge of barrier options for multidimensional uniform elliptic diffusions leveraging both kernel symmetrization and parametrix techniques will be introduced.
 

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