Superhedging of options in a non-linear incomplete financial market model
Event status:
You are welcome to attend the following joint La Trobe statistics and stochastic and Probability Victoria zoom seminar.
- Date:
- Thursday 30 September 2021 07:00 pm until Thursday 30 September 2021 08:00 pm (Add to calendar)
- Contact:
- Andriy Olenko
a.olenko@latrobe.edu.au - Presented by:
- Dr. Miryana Grigorova, University of Leeds
- Type of Event:
- Seminar/Workshop/Training
Abstract:
We will study the superhedging price (and superhedging strategies) of European and American options in a non-linear incomplete market model with default, with a particular focus on the American options case which is more involved. We will provide a dual representation of the seller’s (superhedging) price for the American option in terms of a mixed stochastic control/stopping problem with non-linear expectations/ evaluations, and in terms of non-linear Reflected BSDEs with constraints. If time permits, we will also present a duality result for the buyer’s price in terms of a stochastic game of control and stopping with non-linear expectations/ evaluations.
Zoom Link: https://unimelb.zoom.us/j/86951431269?pwd=S1FPSFBHLzd5QkpGYlJIYS9wUGtLUT09 . Password: 422668 (just in case).
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