Parallel algorithms for power series approximations in finance
Time and place
12:30 PM on Thursday, September 24th, 2020; Zoom link: https://ccny.zoom.us/j/92057419965
Ivan Matic (Baruch College, CUNY)
Abstract
Power series can be an effective tool for solving differential equations. We will show how the method can be used to derive efficient approximations for cumulative distribution function of the standard normal random variable. The method will be extended and used to obtain bounds for Black-Scholes implied volatility. Then we will show how to use power series to build PDE-based parallel algorithms that estimate the implied volatility.
This talk is based on joint papers with Jim Gatheral, Rados Radoicic, and Dan Stefanic
