Superhedging of options in a non-linear incomplete financial market model

Miryana Grigorova - University of Leeds

Date and time
Wednesday, November 3, 2021 at 12:00 PM - Zoom Webinar.

Contact person
Alessandro Gnoatto

Publication date
September 30, 2021



We will study the superhedging price (and superhedging strategies) of European and American options in a non-linear incomplete market model with default, with a particular focus on the American options case which is more involved.

We will provide a dual representation of the seller’s (superhedging) price for the American option in terms of a mixed stochastic control/stopping problem with non-linear expectations/ evaluations, and in terms of non-linear Reflected BSDEs with constraints.

If time permits, we will also present a duality result for the buyer’s price in terms of a stochastic game of control and stopping with non-linear expectations/ evaluations.
The talk is based on joint works with Marie-Claire Quenez and Agnès Sulem.


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