SMS scnews item created by Anna Aksamit at Tue 21 Jul 2020 1845
Type: Seminar
Distribution: World
Expiry: 4 Aug 2020
Calendar1: 28 Jul 2020 1400-1500
CalLoc1: zoom talk
Auth: aksamit@10.48.30.88 (aaks9559) in SMS-WASM

Stochastics and Finance: Kris Wu -- Valuation of American VIX Call Options under the Generalized Mixture Model

Dear All, 

You are kindly invited to attend the next Stochastics and Finance seminar.  On Tuesday
July 28 at 2pm (Sydney time) Kris Wu will give a talk via Zoom.  

Zoom link: https://uni-sydney.zoom.us/j/93295992639 

Speaker: Kris Wu (UNSW) 

Title: Valuation of American VIX Call Options under the Generalized Mixture Model 

Abstract: In this paper, we study the pricing of American VIX call option under
generalized mixture of 3/2 and 1/2 (Heston) models.  According to Detemple and
Kitapbayev (2018), there are two optimal stopping boundaries under this mixture model.
By taking the Laplace-Carson transform of the free-boundary problem, we were able to
obtain numerically the optimal stopping boundaries and the price of American VIX call
option.  In addition, we also derive a closed form formula for the price of a perpetual
American VIX call option.  

http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html 

Please feel free to forward this message to anyone who might be interested in this
talk.  

Kind regards, 

Anna