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Financial/Actuarial Mathematics Seminar

Robust approach to pricing of American options
Wednesday, September 4, 2019
4:00-5:00 PM
1360 East Hall Map
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(s): Dominykas Norgilas (UM)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics