XVII Workshop on Quantitative Finance -- POSTER SESSION
timetable:
Thu 28 Jan, 14:00 - 15:00,
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poster: POSTER SESSION: Arbitrage-Free Pricing of American Contingent Claims in Uncertain Volatility Market Models
speaker: Immacolata Olivaabstract: In this paper we establish an explicit expression for the endpoints of an arbitragefree prices interval for American contingent claims in financial markets characterized by uncertain volatility. We exploit the notion of Gexpectation and the related Itô stochastic calculus on suitable stopping time intervals.
timetable:
Thu 28 Jan, 14:00 - 15:00,
<< Go back