Friday, April 19, 2013

Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

Gonçalo Reis
(Technische Universitat, Berlin)

Abstract: Following work of Dupire (2005), Carr--Lee (2010) and Cox--Wang (2011) on connections between Root's solution of the Skorokhod embedding problem, free boundary PDEs and model-independent bounds on options on variance we propose an approach with viscosity solutions. Besides extending the previous results, it gives a link with reflected FBSDEs as introduced by El Karoui et. al. (1997) and allows for easy convergence proofs of numerical schemes via the Barles--Souganidis (1991) method. (see arXiv:1301.3798)

Friday, April 19, 2013
Time: 15h00
Room: Anfiteatro 3, Edificio Quelhas, ISEG