Date | 2017-09-21 |
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Speaker | 박형빈 |
Dept. | 서울대학교 |
Room | 129-101 |
Time | 16:00-17:00 |
We pursue robust approach to pricing and hedging options in quantitative finance. The super-hedging problem is to construct a minimal hedging portfolio that dominates the payoff of the option, and the hedging duality is a useful tool to express this super-hedging price. Hedging duality is closely related to the fundamental theorem of asset pricing in a large financial market. In this talk, we discuss recent developments in robust hedging duality with connection to large financial market theory.