Centre of Financial Mathematics (CFM) Seminar Series
November 13 @ 1:30 pm - November 15 @ 2:30 pm
Dr Zhou Zhou ( School of Mathematics and Statistics, University of Sydney)
Arbitrage and Hedging with American Options
We consider a financial market where stocks are available for dynamic trading, and European and American options are available for static trading (semi-static trading strategies). In terms of arbitrage and hedging, the difficulty of using American options in semi-static trading lies in the flexibility of choosing exercise times, as well as the asymmetric nature of positions of holding versus shorting these options. We provide a unified framework for the treatment of American options, and establish the fundamental theorem of asset pricing (FTAP) and sub- and super-hedging dualities both with and without model uncertainty.
Please let me know if you would like to join the speaker for lunch at Espresso Warrior at 12:30 (email firstname.lastname@example.org)