The wrong number to plug into the wrong formula to get the right price of a stock option
Roger Lee | University of Chicago
Traders of stock options often quote prices not in dollars and cents, but rather in "implied volatility" — sometimes described as "the wrong number to plug into the wrong formula to get the right price". We define what this means and explore why this makes sense, in the context of stochastic models of financial asset prices.
Roger Lee is an Associate Professor of Mathematics at the University of Chicago. He serves also as an Associate Editor of Mathematical Finance and an Associate Editor of the SIAM Journal on Financial Mathematics. Previously he held an NSF postdoctoral fellowship at Stanford and at NYU. He has a PhD from Stanford and a BA from Harvard.
Contact at the MS2Discovery Research Institute: Roman Makarov (Host of the Speaker, Tecton 7)
Refreshments will be provided
June 23, 2016
4pm – 5pm | Location: BA112
The MS2Discovery Seminar Series:
Wilfrid Laurier University, 75 University Avenue West, Waterloo
This event is hosted by the MS2Discovery Interdisciplinary Research Institute | Waterloo