Probability Seminar: Huy Chau

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Huy Chau (University of Manchester) will speak at the Probability seminar. Title: A general framework for pricing and hedging under local viability Abstract: a new approach for solving the problems of pricing and hedging derivatives is introduced in a general frictionless market setting. The method is applicable even in cases where an equivalent local martingale measure fails to exist. Our main results include a new superhedging duality for American options when wealth processes can be negative and trading strategies are subject to a cone constraint. This answers one of the questions raised by Fernholz, Karatzas and Kardaras. (joint with Miklós Rásonyi - HUN-REN Alfred Renyi Institute of Mathematics and Eotvos Lorand University, Budapest, Hungary)