2017-02-21 13:30 — 14:30
Middle Lecture Room, Math Building
University of Minnesota
We consider the super-hedging price of an American option in a financial market in which stocks are available for dynamic trading and European options are available for static trading. The market may admit non-dominated model uncertainty. We discuss several alternative definitions for the super-hedging price, and argue why our choice is more reasonable. We provide and compare several dualities for the super-hedging price. We also prove the existence of an optimal hedging strategy.