Sebastian Herrmann (University of Michigan)
Thursday, June 14, 2018 - 17:00
Technische Universität Berlin, Institut für Mathematik
Strasse des 17. Juni 136, 10623 Berlin, MA 313
Stochastische Analysis und Stochastik der Finanzmärkte
HU Berlin, TU Berlin, BMS, ECMath
We study the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of payoffs that includes American, Asian, Bermudan, and European options with intermediate maturity. We exhibit an optimal superhedging strategy for which the static part solves an auxiliary problem and the dynamic part is given explicitly in terms of the static part. In the case of finitely supported marginal laws, solving for the static part reduces to a semi-infinite linear program. This talk is based on joint work with Florian Stebegg (Columbia University).
submitted by Jean Downes (downes@math.tu-berlin.de)