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Centre of Financial Mathematics (CFM) Seminar Series

November 13 @ 1:30 pm - November 15 @ 2:30 pm

Speaker

Dr Zhou Zhou ( School of Mathematics and Statistics, University of Sydney)

Title

Arbitrage and Hedging with American Options

Abstract

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 malfeus@uow.edu.au)

Details

Start:
November 13 @ 1:30 pm
End:
November 15 @ 2:30 pm
Events Category:
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Organiser

Centre for Financial Mathematics (CFM)
Email:
malfeus@uow.edu.au

Venue

Building 39A Room 208
University of Wollongong
Wollongong, NSW Australia
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