Seminar 217, Risk Management: Self-excited Black-Scholes models for option pricing

Risk Seminar
Sep 24, 2019 11:00am to 12:30pm
1011 Evans Hall
Happening As Scheduled
ABSTRACT: Beginners first learn to price stock options with a simple binomial tree model for random price changes. It is well known that this classical one-dimensional random walk converges weakly to Brownian motion in the proper space-time scaling limit. Actual stock prices changes occur not at regular times but at random times according to the order flow in an electronic limit order book...
Speaker: Alec Kercheval, Florida State University (Speaker - Featured)