Event Date Details:
Refreshments served at 3:15 p.m.
- Sobel Seminar Room; South Hall 5607F
- CFMAR Seminar Series
Abstract: All participants in financial markets face delayed information, that is, their executed orders are made based on the information available some time before the execution time. Delay adds more uncertainty to the market, and it is of great importance to study it. In this talk, we will first discuss super replication with delayed information in a binomial model, notably, we will present a closed form formula for the price of convex contingent claims. Then, we will address the convergence problem as the time-step and delay length tend to zero and introduce analogous results in the continuous time framework. Finally, we will explore the volatility smile of the model. This is a joint work with Tomoyuki Ichiba.