Speaker : Prof. Tai-Ho Wang (Baruch College, The City University of New York)
Title : Bridge representation and small time approximation of transition density
Time : 2017-09-11 (Mon) 15:00 -
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: In this talk we present a bridge representation for the transition density of stochastic process driven by either standard Brownian motions or mixed Brownian and fractional Brownian motions. A small time approximation of the transition density is readily obtained by approximate the bridge representation by a single deterministic path, which in the classical case recovers the heat kernel expansion for diffusion processes. Applications of such small time approximations include small time asymptotics for prices and implied volatilities of European or Asian equity options as well as options on realized variance.