|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.
Speaker: Dominykas Norgilas