Prof. A. Cherny, Moscow State University and Bloomberg

Range options
Date
Nov 13, 2007, 12:30 pm1:30 pm
Location
103 - Bendheim Center for Finance
Event Description

We propose a new class of options, which pay out a given function of the underlying at the time, when the range of the underlying exceeds a given threshold, the range being defined as the difference between the running maximum and the running minimum of the underlying's price. It turns out that within the class of continuous-path models these options are perfectly hedgeable and both the price and the hedge are model-free.

Joint work with Bruno Dupire.

Event Category
Probability Seminar