Priv.-Doz. Dr. Ch. Bayer (WIAS Berlin)
Tuesday, February 23, 2021 - 15:00
Online Event
Dieser Vortrag findet bei Zoom statt: https://zoom.us/j/492088715, --- ---
Seminar Modern Methods in Applied Stochastics and Nonparametric Statistics
In this talk, we study the option pricing problems for rough volatility models. As the framework is non-Markovian, the value function for a European option is not deterministic; rather, it is random and satisfies a backward stochastic partial differential equation (BSPDE). The existence and uniqueness of weak solution is proved for general nonlinear BSPDEs with unbounded random leading coefficients whose connections with certain forward-backward stochastic differential equations are derived as well. These BSPDEs are then used to approximate American option prices. A deep leaning-based method is also investigated for the numerical approximations to such BSPDEs and associated non-Markovian pricing problems. Finally, the examples of rough Bergomi type are numerically computed for both European and American options.
submitted by chschnei (christine.schneider@wias-berlin.de, 030 20372574)