Seminar

Department of Systems Engineering and Engineering Management 

The Chinese University of Hong Kong

 

Title     : Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE
Speaker    : Prof. Qingshuo Song

Date         : Apr. 19th, 2013 (Friday) 

Time         : 4:30 p.m. - 5:30 p.m.

Venue       : Room 513

             William M.W. Mong Engineering Building

             CUHK

Abstract:
In this paper, we study approximation of an European option, when the underlying stock price is a strict local martingale process. Black-Scholes PDE associated with may have multiple solutions. Our results show that a class of rebate barrier options can be used for this approximation, when its rebate and barrier are chosen appropriately. An asymptotic convergence rate is also achieved when the knocked-out barrier moves to infinity under suitable conditions. This partially answers the question proposed by [Fernholz and Karatzas. On optimal arbitrage. Ann. Appl. Probab. 2010].

Biography:
Dr. Qingshuo Song is currently working at Department of Mathematics of City University of Hong Kong as an assistant professor. His research interests include stochastic control theory, and its applications in mathematical finance and engineering. Dr. Qingshuo Song received his BSc and MA from Nankai University in 1996 and 1999, MA and PhD from Department of Mathematics of Wayne State University in 2003 and 2006. Prior to joining City University of Hong Kong in 2010, Dr. Qingshuo Song had been working with Department of Mathematics of University of Michigan in 2009 and Department of Mathematics of University of Southern California during 2006-2009.

************************* ALL ARE WELCOME ************************

Host        : Prof. Nan Chen

Tel          : (852) 3943-8327

Email        : nchen@se.cuhk.edu.hk

Enquiries    : Prof. Li Lingfei

               Department of Systems Engineering and Engineering Management

               CUHK

Website      : http://seminar.se.cuhk.edu.hk

Email        : seem5202@se.cuhk.edu.hk