第502期岭南学术论坛（金融学系列Seminar）
语 言 英文
Abstract:
We propose a Markovian model to value American-style complete contracts of agents who are temporarily inattentive. Exercise decisions maximizing the contract’s payoff are not admissible continuously but at random intervention times. Further, premature forced exercises events can occur randomly accounting for e.g. liquidity needs or mortality. Exercise events are modeled with possibly market and time dependent arrival intensities. We state the fair contract value in terms of an optimal stopping problem. It is converted to optimal control which, further, provides a characterization in terms of a partial integro differential equation. We suggest the three numerical approaches, forward improvement iteration, least squares Monte-Carlo and finite differences, each corresponding one particular characterization of the value. Our adapted least squares Monte-Carlo method can treat complex and possibly multi-dimensional settings.
报告人介绍
https://www.wiso.uni-hamburg.de/fachbereich-sozoek/professuren/szimayer/team/schaefer-mick.html
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中山大学岭南学术论坛分经济、金融和管理三个系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。
