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UID:www.tcs.tifr.res.in/event/61
DTSTAMP:20230914T125908Z
SUMMARY:Option Pricing and Hedging in the Incomplete Market
DESCRIPTION:Speaker: Rituparna Sen\nUniversity of California\, Davis\nStati
 stics\n4218 Math Sciences Building\nDavis\, CA 95616\nUni\n\nAbstract: \nA
 n important aspect of the stock price process\, which has often been ignor
 ed in the financial literature\, is that prices on organized exchanges are
  restricted to lie on a grid.  We consider continuous-time models for the 
 stock price process with random waiting times of jumps and discrete jump s
 ize. We consider a class of pure jump processes that are ``close'' to the 
 Black-Scholes model in the sense that as the jump size goes to zero\, the 
 jump model converges to geometric Brownian motion.  We study the changes i
 n pricing caused by discretization. Upper and lower bounds on option price
 s are developed. We show that it is possible to hedge options if one restr
 icts to jumps of size one\, that is\, if one models the stock price proces
 s as a birth and death process. One needs the stock and another market tra
 ded derivative to hedge an option in this setting. We obtain parameter est
 imates using Generalized Method of Moments. We use filtering equations for
  inference in the stochastic intensity setting. We present real data appli
 cations to study the  performance of our modeling and estimation technique
 s.\n
URL:https://www.tcs.tifr.res.in/web/events/61
DTSTART;VALUE=DATE:20100121
LOCATION:A-212 (STCS Seminar Room)
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