Dr. Miryana Grigorova (University of Leeds) will give a talk organized by the Department of Economics - University of Verona

Date: 3 November 12:00 CET.

Title: "Superhedging of options in a non-linear incomplete financial market model”

Abstract: We will study the superhedging price (and superhedging strategies) of European and American options

in a non-linear incomplete market model with default, with a particular focus on the American options case which is more involved.

We will provide a dual representation of the seller’s (superhedging) price for the American option

in terms of a mixed stochastic control/stopping problem with non-linear expectations/ evaluations, and in terms of non-linear Reflected BSDEs with constraints.

If time permits, we will also present a duality result for the buyer’s price in terms of a stochastic game of control and stopping with non-linear expectations/ evaluations.

The talk is based on joint works with Marie-Claire Quenez and Agnès Sulem.

If you would like to attend via Zoom, please register at the following link, we will send you the details:

https://docs.google.com/forms/d/e/1FAIpQLScVu88XwBhoF9O3xmbKwUxv0JN2URNT3Kip...