Wednesday, July 15

CP12
Finance

10:30 AM-12:30 PM
Chair: Susan Cole, Rensselaer Polytechnic Institute
Room: Sidney Smith 1084

10:30 Equivalent Worth of Options Invested in the Long Run

Susan Cole, Rensselaer Polytechnic Institute

10:45 A Combinatorial Model for Matching the S&P Financial Index

Jean-Francois Pusztaszeri, Cornell University

11:00 The Multigrid Solution of Convertible Bonds Pricing Problems

Da-Qing Wang and Shangyou Zhang, University of Delaware

11:15 Pricing of American and Portfolios of Options with Transaction Costs

Da-Qing Wang and Shangyou Zhang, University of Delaware

11:30 Option Pricing with Genetic Programming

Chia-Hsuan Yeh and Shu-Heng Chen, National Chengchi University, Taiwan; and Woh-Chiang Lee, Van Nung Institute of Technology, Taiwan

11:45 Valuation of American Exotic Options

Hong Yu, Yue-Kuen Kwok, and Lixin Wu, Hong Kong University of Sciences and Technology, Hong Kong, China

12:00 The Valuation of Options on the Average

Daniel Dufresne, University of Melbourne, Australia

12:15 Option Valuation and Hedging Method for Hull-White Stochastic Volatility Model

Hyeong In Choi and Hyejin Ku, Seoul National University, Korea