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Delayed Random Walks: Numerical Methods and Applications
PDE & Applied Mathematics| Speaker: | Harish Bhat, UC Merced |
| Location: | 1147 MSB |
| Start time: | Tue, May 8 2012, 3:10PM |
Description
The simplest delayed random walk is a modification of the
simple random walk in which the direction and magnitude of the
walker's step depends on the previous step. We first discuss a
numerical method by which the probability mass function for a delayed
random random walk can be recovered, up to machine precision, using
the fast Fourier transform. We then describe an options pricing
theory in which the underlying asset follows a delayed random walk.
Comparisons between model prices and real market data will be made