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Department of Mathematical Sciences

Seminar Archives

On this page you can find information about seminars in this and previous academic years, where available on the database.

Statistics Seminars: American options with gradual exercise under transaction costs

Presented by Tomasz Zastawniak, York University

27 October 2014 14:00 in CM221

American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of gradual exercise leads to tighter bounds on the option price when compared to the case studied in the existing literature, where the standard assumption is that the option can only be exercised instantly at an ordinary stopping time. Algorithmic constructions for the bid and ask prices and the associated superhedging strategies and optimal mixed stoping times for an American option with gradual exercise are developed and implemented, and dual representations are established.

Contact sunil.chhita@durham.ac.uk for more information