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 |
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Event Type: | Workshop / Seminar |
Tags: | Mathematics |
Source: | Happening @ Michigan from Department of Mathematics, Financial/Actuarial Mathematics Seminar - Department of Mathematics |