Superhedging of options in a non-linear incomplete financial market model
Date: 30 September 2021, Thursday
Time: 7pm AEST
Contact the organizer: Andriy Olenko a.olenko@latrobe.edu.au
Speaker: Dr. Miryana Grigorova (University of Leeds)
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.
Zoom meeting link:
https://unimelb.zoom.us/j/86951431269?pwd=S1FPSFBHLzd5QkpGYlJIYS9wUGtLUT09
(if the link doesn't work when you click it -- please copy & paste it into the address bar in your browser).
Password: 422668 (just in case)
