University of Connecticut

Events Calendar

Mathematics Colloquium
Adding Optionality
Peter Carr (NYU)

Thursday, October 31, 2019
3:30pm – 4:30pm

Storrs Campus
MONT 214

Non-classical arithmetics replace ordinary addition and/or multiplication in standard arithmetic with other binary operations called pseudo-addition and multiplication. Dynamic non-classical arithmetic (DNA) allows a different non-classical arithmetic to be used at each time. We apply DNA to enhance our understanding of the logistic distribution in probability theory. We also apply DNA to develop a novel arbitrage-free option pricing model in finance. Under our approach, European option valuation reduces to pseudo-addition of spot and strike, while Bermudan option valuation reduces to repeated pseudo-addition. Simple and realistic closed-form formulas are easily generated in both cases.

Contact:

Kyu-Hwan Lee

Mathematics Colloquium (primary), UConn Master Calendar

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