Date | Nov 05, 2021 |
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Speaker | 김탁원 |

Dept. | 서울대학교 |

Room | 27-325 |

Time | 16:00-18:00 |

In this thesis, we consider degenerate parabolic equations derived from the constant elasticity of variance (CEV) model of mathematical finance. We discuss the boundary Schauder theory for the degenerate equations and the optimal investment problem with transaction costs under the CEV model, introduce the generalized CEV (GCEV) model that can capture the volatility smile, and find the asymptotic expansion of the option price and convergence rate.

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