Vorträge und Posterpräsentationen (ohne Tagungsband-Eintrag):
M. Beiglböck:
"Pathwise super-replication via Vovk's outer measure";
Vortrag: Workshop on "Pathwise methods, Functional Calculus and applications in Mathematical Finance" (Thematic program: Mathematics for Risk in Finance and Energy),
WPI, Wolfgang Pauli Institute, Vienna (eingeladen);
04.04.2016
- 07.04.2016.
Kurzfassung englisch:
Since Hobson's seminal paper the connection between model-independent pricing and the skorokhod embedding problem has been a driving force in robust finance. We establish a general pricing-hedging duality for financial derivatives which are susceptible to the Skorokhod approach. Using Vovk's approach to mathematical finance we derive a model-independent super-replication theorem in continuous time, given information on finitely many marginals. Our result covers a broad range of exotic derivatives, including lookback options, discretely monitored Asian options, and options on realized variance.
Elektronische Version der Publikation:
http://www.wpi.ac.at/event_view.php?id_activity=212
Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.