The Department of Finance and Risk Engineering welcomes Peter Carr, NYU Tandon, FRE Department Chair, to the BQE Lecture Series.
Simple Bermudan Option Pricing
Many option contracts allow exercise at two or more future times. While numerical methods handle Bermudan optionality in stride, analytic approaches have historically been cumbersome. We present a particular Bermudan option and a particular valuation model for which Bermudan option pricing uses high school mathematics.
Peter Carr is the current Chair of the Finance and Risk Engineering Department at NYU Tandon School of Engineering. Prior to joining NYU, he headed various quant groups in the financial industry for twenty years. He has won numerous awards and has many publications in both academic and industry journals. He is currently ranked second in the world by Google Scholar for citations on derivatives and third in the world for citations on quantitative finance.