COVID-19 Updates

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The Renison English Language Institute Office (REN 1930) is open again! Visit the office on Monday to Friday, 8:30am - 4:30pm ET. 

For the Fall 2021 term, we will plan to offer our BASE and EFAS programs in both a completely online or blended (in-person and online) format. Learn more about Fall BASE on the BASE website. Learn more about the Fall EFAS program on our News webpage.

Events by date

Thursday, January 21, 2016

Thursday, January 21, 2016 — 4:00 PM EST

Arbitrage and hedging with American options

We consider a financial market in discrete time where stocks are available for dynamic trading, and liquid American options are available for static trading. We assume that the American options are infinitely divisible, and can only be bought but not sold. We establish the fundamental theorem of asset pricing and the dualities for the hedging prices of European and American options, for both the case without model ambiguity and the case with non-dominated model uncertainty.

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