Application of cubature to TARN option pricing

Stochastic Analysis Seminar Series

Target Accrual Redemption Note is a path dependent feature put on a series of trades. The path dependency occurs at finite number of times. In this talk we discuss applying the Cubature algorithm to pricing such options as well as the many issues one encounters when using the Cubature algorithm.

Location:
Speaker(s):

Wei Pan (Oxford)

Date:
Monday, November 12, 2012 - 15:45
to 16:45