Tid: 18 oktober 2004 kl 1515-1700
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Erik Ekström, Matematiska institutionen, Uppsala universitet.
Titel: Convexity of the optimal stopping boundary for the American put option
Sammanfattning: We show that the optimal stopping boundary for the American put option is convex in the standard Black-Scholes model. The methods are adapted from ice-melting problems and rely on the study of level curves of solutions to certain parabolic differential equations.