Super-replication of American Options in an Uncertain Volatility Model
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Open Access
Type
ThesisThesis type
Doctor of PhilosophyAuthor/s
Tiplea, Ana CameliaAbstract
We study the pricing of multi-asset American derivatives in an Uncertain Volatility model for general payoffs. We apply stochastic optimal control techniques and viscosity theory to characterize the pricing function of such derivatives as unique solutions of a nonlinear parabolic PDE with obstacles. We further prove sufficient regularity of the solution and we find the optimal super-replicating strategy for the American claim.We study the pricing of multi-asset American derivatives in an Uncertain Volatility model for general payoffs. We apply stochastic optimal control techniques and viscosity theory to characterize the pricing function of such derivatives as unique solutions of a nonlinear parabolic PDE with obstacles. We further prove sufficient regularity of the solution and we find the optimal super-replicating strategy for the American claim.
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Date
2019-07-29Licence
The author retains copyright of this thesis. It may only be used for the purposes of research and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission.Faculty/School
Faculty of Science, School of Mathematics and StatisticsAwarding institution
The University of SydneyShare