Date: November 9th, Thursday
Time: 11:45 am
Place: Little 339 (the Atrium)
Speaker: Dr. Yan

Drinks and Pizza will be provided after the talk

Title: Efficient Monte Carlo Simulation of option prices

Abstract: 

We are looking for the tradeoff between
increasing the number of time intervals
and increasing the number of simulations
for Euler scheme and Milstein scheme.
Application is the determination of option prices.