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SUMMARY:Representable Options
DTSTART:20170607T110000
DTEND:20170607T120000
DTSTAMP:20260407T103042Z
UID:b2fc31c00cc3173b10ece20925f4f94f68473ac8d33760994a9e8667
CATEGORIES:Conferences - Seminars
DESCRIPTION:Matthias LENGA (University of Kiel)\nWe call a given American 
 option representable if there exists a European claim which dominates the 
 American payoff at any time and such that the values of the two options co
 incide within the continuation set associated to the American claim. This 
 concept has interesting implications from a probabilistic\, analytic and f
 inancial point of view.\n \nWe aim at analyzing and linking together the 
 mathematical notions of representable American claims\, embedded American 
 payoffs (in the sense of Jourdain and Martini\, 2001) and cheapest dominat
 ing European options. This process reveals a duality structure between Eur
 opean and American valuation problems which we deem as very promising for 
 future research. Relying on methods from convex optimization\, we make a f
 irst step towards verifying representability of certain American claims.\n
  \nFurthermore\, we will discuss a new algorithm which generates upper an
 d lower bounds for American option prices as well as a candidate early exe
 rcise boundary. The algorithm is benchmarked against high-precision method
 s from the literature.\n 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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