MS-We-D-53
Analytical Pricing Methods for Path-Dependent Options

Date: August 12
Time: 13:30--15:30
Room: 311B

(Note: Click title to show the abstract.)

Organizer:
Ludkovski, Mike (UC Santa Barbara)
Leung, Tim (Columbia Univ.)
Cai, Ning (Hong Kong Univ. of Sci. & Tech.)

Abstract: This minisymposium will explore new developments related to valuation of complex financial contracts, especially those with path-dependent features, such as Asian and Callable contracts.


MS-We-D-53-1
13:30--14:00
Investor Behavior and Valuation of Turbo Warrant
Yang, Xuewei (Nanjing Univ.)


MS-We-D-53-2
14:00--14:30
Pricing Path-dependent Options with Regime Switching
Song, Yingda (Univ. of Sci. & Tech. of China)
Cai, Ning (Hong Kong Univ. of Sci. & Tech.)


MS-We-D-53-3
14:30--15:00
Analytical Pricing of Asian Options under a Class of Option Pricing Models
Cai, Ning (Hong Kong Univ. of Sci. & Tech.)


MS-We-D-53-4
15:00--15:30
Closed-form Expansions of Discretely Monitored Asian Options in Diffusion Models
Cai, Ning (Hong Kong Univ. of Sci. & Tech.)
Li, Chenxu (Peking Univ.)
Shi, Chao (Univ. of International Business & Economics)

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Footnote:
Code: Type-Date-Time-Room No.
Type : IL=Invited Lecture, SL=Special Lectures, MS=Minisymposia, IM=Industrial Minisymposia, CP=Contributed Papers, PP=Posters
Date: Mo=Monday, Tu=Tuesday, We=Wednesday, Th=Thursday, Fr=Friday
Time : A=8:30-9:30, B=10:00-11:00, C=11:10-12:10, BC=10:00-12:10, D=13:30-15:30, E=16:00-18:00, F=19:00-20:00, G=12:10-13:30, H=15:30-16:00
Room No.: TBA