Super-replication of American Options in an Uncertain Volatility Model

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Field	Value	Language
dc.contributor.author	Tiplea, Ana Camelia
dc.date.accessioned	2019-07-30
dc.date.available	2019-07-30
dc.date.issued	2019-07-29
dc.identifier.uri	http://hdl.handle.net/2123/20815
dc.description.abstract	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.	en
dc.rights	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.	en
dc.rights	The author retains copyright of this thesis
dc.subject	American options	en
dc.subject	uncertain volatility	en
dc.subject	super-replication	en
dc.title	Super-replication of American Options in an Uncertain Volatility Model	en
dc.type	Thesis	en
dc.type.thesis	Doctor of Philosophy	en
usyd.faculty	Faculty of Science, School of Mathematics and Statistics	en
usyd.degree	Doctor of Philosophy Ph.D.	en
usyd.awardinginst	The University of Sydney	en