Date
Thu, 02 May 2024
16:00
Location
L4
Speaker
Dr Anna Aksamit
Organisation
University of Sydney

We show the super-hedging duality for multi-action options which generalise American options to a larger space of actions (possibly uncountable) than {stop, continue}. We put ourselves in the framework of Bouchard & Nutz model relying on analytic measurable selection theorem. Finally we consider information delay on the action component of the product space. Information delay is expressed as a possibility to look into the future in the dual formulation. This is a joint work with Ivan Guo, Shidan Liu and Zhou Zhou.

Further Information

Please join us for reshments outside the lecture room from 1530.

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