MCFAM Seminar - A general framework for pricing and hedging under local viability
Speaker: Huy Chau
Abstract: In this talk, a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new superhedging duality for American options when wealth processes can be negative and trading strategies are subject to a cone constraint. This answers one of the questions raised by Fernholz, Karatzas and Kardaras.
This is joint with Miklós Rásonyi (Alfred Renyi Institute of Mathematics and Eotvos Lorand University, Budapest, Hungar
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