Mathematical Finance Colloquium: Stopping Spot Local Times: A Random Occupation
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3620 South Vermont Avenue, Los Angeles, CA 90089
Valentin Tissot-Daguette
Princeton University/USC [in-person]
or
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https://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYyNSt6UT09
Meeting ID: 949 7361 9069
Passcode: 925028
Abstract: We study an American derivative where the holder receives the local time of the underlying at the current level. Its price can be seen as the fair strike of a floating, infinitesimal corridor variance swap with early exercise. We derive the dynamic programming equation (DPE) of the associated optimal stopping problem by lifting the underlying process with its flow of occupation measures. The DPE also necessitates an adaptation of Itô's formula to this setting. Numerical approximations are finally discussed.
This program is open to all eligible individuals. USC operates all of its programs and activities consistent with the university’s Notice of Non-Discrimination. Eligibility is not determined based on race, sex, ethnicity, sexual orientation or any other prohibited factor.
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