Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, December 02, 2015
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Model-independent bounds for Asian options: a dynamic programming approach

Abstract:   We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we consider the problem as a dynamic programming problem, where the controlled process is the conditional distribution of the asset at the maturity date. By formulating the problem in this manner, we are able to determine the model-independent price through a PDE formulation. Notably, this approach does not require specific constraints on the payoff function (e.g. convexity), and would appear to be generalisable to many related problems. (Joint work with S. Kallblad).

Files: 3404_Michigan15.pdf

Speaker:  Alex Cox
Institution:  University of Bath, UK

Event Organizer:   Erhan Bayraktar


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