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02/11/03 Colloquium
DR. JIONGMIN YONG
Fudan University
Fudan University
Option Pricing and Backward Stochastic Partial Differential Equations
Abstract: Under the Black-Scholes continuous-time security market model, European option pricing problem can lead to backward stochastic differential equations. In the case that the coefficients are random, to derive the well-known Black-Scholes formula, one will end up with a backward stochastic partial differential equation. In this talk, we will briefly present the results related to the issues/concepts mentioned above.