Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, September 04, 2019
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Robust approach to pricing of American options

Abstract:   Using the (martingale) optimal transport we study the no-arbitrage bounds of the American options. Along the way, we discuss the optimality of the shadow embedding for a specific class of payoff functions. Then we show that the model associated with the highest price of the American put is the extended left-curtain martingale coupling. In this case we also derive the cheapest superhedge.

Files: 6168_Norgilas.pdf

Speaker:  Dominykas Norgilas
Institution:  UM

Event Organizer:     


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