Pricing and hedging of options in non-linear incomplete financial market models

Abstract: We will study the superhedging price (and superhedging strategies) of European and American options in non-linear incomplete market models with default, with a particular focus on the case of the American options which is more involved. We will provide a dual representation of the seller’s (superhedging) price for the American option in terms of

Speaker: Prof. Said Hamadene (LMM, Le Mans University, France)

Abstract: In this talk, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the expected value E[Y ] of the Y-component of the solution enters both the driver and the lower obstacle. We consider the case where the lower obstacle is a deterministic

Speaker:Prof. (Emeritus) Bernt Øksendal (University of Oslo, Norway)

Abstract: We study option prices in financial markets where the risky asset prices are modelled by jump diffusions. For simplicity, we put the risk-free asset price equal to 1. Such markets are typically incomplete, and therefore there are in general infinitely many arbitrage-free option prices in these markets. We consider in particular European options with