Talks and Poster Presentations (with Proceedings-Entry):

S. Källblad:
"Model-independent bounds for Asian options: a dynamic programming approach";
Talk: 14th Viennese Conference on Optimal Control and Dynamic Games, ORCOS, TU Wien, Austria (invited); 2018-07-04; in: "14th Viennese Conference on Optimal Control and Dynamic Games (programbook-VC2018)", Research Unit ORCOS, (2018), 1.

English abstract:
We consider the problem of finding model-independent bounds on the price of an Asian option, when
the call prices at the maturity date of the option are known. Our methods differ from most approaches
to model-independent pricing in that we consider the problem as a dynamic programming problem, where the controlled process is the conditional distribution of the asset at the maturity date. By formulating the problem in this manner, we are able to determine the model-independent price through a PDE formulation.
Notably, this approach does not require specific constraints on the payoff function (e.g. convexity), and would appear to generalise to many related problems.

Electronic version of the publication:

Created from the Publication Database of the Vienna University of Technology.