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


Relatore
Miryana Grigorova - University of Leeds

Data e ora
mercoledì 3 novembre 2021 alle ore 12.00 - Zoom Webinar.

Referente
Alessandro Gnoatto

Data pubblicazione
30 settembre 2021

Dipartimento
Scienze Economiche  

Riassunto

Abstract
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.

 

Personal Website:  https://www.miryanagrigorova.com/
Zoom link: https://univr.zoom.us/j/81199748149


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