Prof. Dr. Sebastian Ferrando:
Trajectorial Models based on Operational Assumptions
Time and place
Monday, 30.10.17, 14:15-15:15, Raum 125, Eckerstr. 1
Abstract
We illustrate by example the construction of\none-dimensional models for\noption pricing based on operational and observable features of a\nsingle class of investors and a\nrisky asset. Market models are defined based on a class of investors\ncharacterized by how they operate on financial data leading to\npotential portfolio re-balances.\nOnce observable variables are selected for modeling, necessary conditions\nconstraining these variables and resulting from the operational setup are\nderived. Future uncertainty is then reflected in the construction of\ncombinatorial trajectory spaces satisfying such constraints. In the absence\nof probability assumptions, a minmax methodology is available to price option\ncontracts; numerical results are presented based on worst case estimation of\nparameters.