Robust Duality for multi-action options with information delay
Date: 19 April 2024, Friday

Time: 3 pm, Singapore (Light refreshments will be served after the seminar)

Venue: Block S17 Level 3, 10 Lower Kent Ridge Road, Singapore 119076, S17-03-04, Maths Computer Lab

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Abstract
We show the super-hedging duality for multi-action options which generalise American options to a larger space of actions (possibly uncountable) than {stop, continue}. We put ourselves in the framework of Bouchard & Nutz model relying on analytic measurable selection theorem. Finally, we consider information delay on the action component of the product space. Information delay is expressed as a possibility to look into the future in the dual formulation. This is a joint work with Ivan Guo, Shidan Liu and Zhou Zhou.
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