School Seminars and Colloquia

Optimal Stopping and Pricing the Perpetual American Put Option

Joint Seminar Series on Stochastic Processes and Financial Mathematics

by Andrew Downes


Institution: Department of Mathematics and Statistics, University of Melbourne
Date: Thu 9th February 2006
Time: 1:15 PM
Location: Room 213, Richard Berry Building, The University of Melbourne

Abstract: Many of the recent developments in the theory of optimal stopping have
been stimulated by option pricing theory developed during the 1960's and
1970's. Modern financial theory equates the problem of evaluating an
American put option with solving an optimal stopping problem, as the optimal
stopping time is the rational time for the purchaser to exercise the
option. In this talk I survey some methods used in solving optimal
stopping problems, as motivated by pricing the perpetual American put
option.

For More Information: Aihua Xia tel. 03 8344 4247 email: a.xia@ms.unimelb.edu.au