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Incomplete financial models: range of option prices and completion through option prices

Jean Jacod (University Paris VI)
Thiele Seminar
Thursday, 14 April, 2016, at 13:15-14:00, in Koll. D (1531-211)
Except for the Black-Scholes model, financial models are typically incomplete: claims cannot usually be hedged, and there are infinitely many equivalent martingale measures, implying that options do not have a unique price. We will discuss the possible range for the price of a European option, and show that in some cases it is possible to complete the model by adding to the stock price the price of a traded option. This is a preliminary work, with a few simple results and mainly open questions, even for very elementary incomplete models.
Organised by: The T.N. Thiele Centre
Contact person: Mark Podolskij