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).

Search

to

24th Oct 2021 8:05pm

Advanced search

October Next Previous

  • Sun
  • Mon
  • Tue
  • Wed
  • Thu
  • Fri
  • Sat
1
2
11
28
30