Seminar series
Date
Fri, 14 Mar 2014
Time
13:00 -
14:00
Location
L6
Speaker
Harald Oberhauser
The question of how to derive useful bounds on
arbitrage-free prices of exotic options given only prices of liquidly
traded products like European call und put options has received much
interest in recent years. It also led to new insights about classic
problems in probability theory like the Skorokhod embedding problem. I
will take this as a starting point and show how this progress can be
used to give new results on general Monte-Carlo schemes.