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Model-independent bounds for Asian options - a dynamic programming approach Källblad, Sigrid
Description
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our method differs from most approaches to model-independent pricing in that we consider the problem as a dynamic programming problem, where the controlled process is the conditional distribution of the asset at the maturity date. By formulating the problem in this manner, we are able to determine the model-independent price through a PDE formulation. Notably, this approach does not require specific constraints on the payoff function (e.g. convexity), and would appear to be generalisable to many related problems. (This is joint work with A.M.G. Cox.)
Item Metadata
Title |
Model-independent bounds for Asian options - a dynamic programming approach
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Creator | |
Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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Date Issued |
2016-05-23T12:03
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Description |
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our method differs from most approaches to model-independent pricing in that we consider the problem as a dynamic programming problem, where the controlled process is the conditional distribution of the asset at the maturity date. By formulating the problem in this manner, we are able to determine the model-independent price through a PDE formulation. Notably, this approach does not require specific constraints on the payoff function (e.g. convexity), and would appear to be generalisable to many related problems. (This is joint work with A.M.G. Cox.)
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Extent |
25 minutes
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Subject | |
Type | |
File Format |
video/mp4
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Language |
eng
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Notes |
Author affiliation: École Polytechnique
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Series | |
Date Available |
2017-01-25
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Provider |
Vancouver : University of British Columbia Library
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Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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DOI |
10.14288/1.0339878
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URI | |
Affiliation | |
Peer Review Status |
Unreviewed
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Scholarly Level |
Postdoctoral
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Rights URI | |
Aggregated Source Repository |
DSpace
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Item Citations and Data
Rights
Attribution-NonCommercial-NoDerivatives 4.0 International