Date | 2021-02-02 |
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Speaker | 안신미 |
Dept. | 성모서울치과 |
Room | 27-317 |
Time | 12:00-13:00 |
In this talk, we discuss how the measure change theory can be applied to jump diffusion processes. Under suitable conditions, the jump size and rate depends on the Girsanov kernel and we study their dependence. In addition, we investigate how the measure change theory can be used for financial derivative pricing. As examples, European options and American options are discussed.