15 novembre 2010, 12h30–14h00
Salle MF 323
Fédération des Banques Françaises Seminar
Résumé
We develop a stochastic control approach for the derivation of model independent bounds for derivatives under various calibration constraints. Unlike the previous literature, our formulation seeks the optimal no arbitrage bounds given the knowledge of the distribution at some (or various) point in time. This problem is converted into a classical stochastic control problem by means of convex duality. We obtain a general characterization, and provide explicit optimal bounds in some examples.