报告人：宋海明（吉林大学）

邀请人：高华东

报告时间：2021年12月22日（星期三）9:00-11:00

报告地点：腾讯会议ID：498 976 624

报告题目：Projection and Contraction Method for the Valuation of American Options under Regime Switching

报告摘要：In this work, an efficient numerical algorithm is proposed for the valuation of American put options under regime switching. The pricing model could be described by a set of variational inequalities, which is also equivalent to a coupled parabolic free boundary problem. With variable substitutions and truncation techniques, the original pricing problem is transformed into a coupled linear complementarity problem on a bounded rectangular domain. Then, the variational problem related to the linear complementary problem is obtained. Furthermore, the full-discretized approximation of the variational problem is presented by the finite difference method and the finite element method in temporal direction and spatial direction, respectively. Based on the positive definiteness of the discretized matrix, a projection and contraction method is designed for the resulted discretized variational problem. Finally, numerical experiments are carried out to verify the efficiency of the proposed method, in comparison with previous methods.

报告人简介：宋海明，吉林大学数学学院，博士，副教授，博士生导师。主要从事最优化方法，偏微分方程约束最优控制问题，以及偏微分方程数值解在金融衍生品定价问题中的应用等方面的研究，于国内外学术刊物共发表论文20余篇。