Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)
Strict Local Martingale Deflators and Pricing American Call-Type Options
Tuesday, September 29, 2009 at 01:45pm - 02:45pm
Speaker: Erhan Bayraktar, University of Michigan
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
Joint work with Kostas Kardaras and Hao Xing.
Speaker: Erhan Bayraktar, University of Michigan
Location Hill 705