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 Winter 2022 term, ELI programs will return to an in-person format. Learn more about our in-person and online program offerings.

Statistical and Actuarial Science Department Seminar by Zhou Zhou University of Minnesota Export this event to calendar

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.

Cost 
Free
Location 
M3 - Mathematics 3

200 University Avenue West

Waterloo, ON N2L 3G1
Canada

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