Department News and Announcements
Department News
- Dr. Steve Szydlik wins Penson Faculty Award
- Ed Clemons wins COLS Service Recognition Award
- Dr. Jennifer Szydlik appointed 2008-2009 Wisconsin Teaching Scholar
- Wisconsin MAA Newsletter
Announcements
- Colloquium:
Numerical Methods for Option Pricing
Wednesday, November 18, 4:10 -- 5:00 pm, in Swart 127.
Speaker: Dr. Syed Kazmi, University of Wisconsin Oshkosh
Abstract: The development of modern option pricing began with the publication of the Black-Scholes option pricing formula in 1973. Black and Scholes (1973), and Merton (1973) gave a derivation of a model equation to compute the value of a European option. This equation has had such financial impact that Robert Merton and Myron Scholes shared the 1997 Nobel Prize for economics (Fischer Black having died in 1995). The Black-Scholes formula computes the value of a European option based on the underlying asset, strike price, volatility of the asset, and the time until the option expires. The European option can be exercised only at expiry date whereas an American option has the additional feature that it can be exercised at any time during the life of the option. This makes the valuation of an American option more difficult. Black-Scholes model can be extended for an American option but analytical solutions of American option problems are seldom available. Hence such derivatives must be priced by stable and efficient numerical techniques. In this talk, I will derive the famous Black-Scholes formula and describe some of the numerical methods for the pricing of American Options.
- Harvey MacKenzie Scholarship Exam Contest