MCFAM Seminar - Model-free price bounds under dynamic option trading

Speaker: Dr. Julian Sester

 Abstract: We extend discrete time semi-static trading strategies by also allowing for dynamic trading in a finite amount of options, and we study the consequences for the model-independent super-replication prices of exotic derivatives. These include duality results as well as a precise characterization of pricing rules for the dynamically tradable options triggering an improvement of the price bounds for exotic derivatives in comparison with the conventional price bounds obtained through the martingale optimal transport approach.

Start date
Friday, March 25, 2022, Noon
End date
Friday, March 25, 2022, 1 p.m.