BEGIN:VCALENDAR VERSION:2.0 PRODID:researchseminars.org CALSCALE:GREGORIAN X-WR-CALNAME:researchseminars.org BEGIN:VEVENT SUMMARY:Linn Engström (KTH Royal Institute of Technology) DTSTART:20241023T111500Z DTEND:20241023T120000Z DTSTAMP:20260422T161047Z UID:gbgstats/68 DESCRIPTION:Title: Computation of Robust Option Prices via Martingale Optimal Transport \nby Linn Engström (KTH Royal Institute of Technology) as part of Gothenb urg statistics seminar\n\nLecture held in MVL14.\n\nAbstract\nDuring the l ast decade there has been a rapid development of methods for computational ly addressing optimal transport problems\; motivated by applications withi n robust finance\, effort has also been made to generalize some of these t echniques to problems equipped with an additional martingale constraint. C omputationally solving multi-marginal martingale optimal transport problem s remains a challenging task though\, particularly for problems formulated with a large number of marginals.\n\nIn this talk I will give a brief int roduction to the martingale optimal transport problem and motivate why it is interesting from a mathematical finance point of view\, before presenti ng an efficient framework for solving a class of such multi-marginal probl ems computationally. The method combines the celebrated entropic regulariz ation with the exploitation of certain structures inherent in the problem\ , enabling fast computation of the optimal dual variables. I will also pro vide some examples that demonstrates the utility of our method in terms of computing model-independent bounds on the fair price of some exotic optio ns\, such as lookback options and Asian options. The talk is based on join t work with Sigrid Källblad and Johan Karlsson.\n LOCATION:https://researchseminars.org/talk/gbgstats/68/ END:VEVENT END:VCALENDAR