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SUMMARY:Esscher pricing under progressive enlargement of information
DTSTART;VALUE=DATE-TIME:20180829T074000Z
DTEND;VALUE=DATE-TIME:20180829T082000Z
DTSTAMP;VALUE=DATE-TIME:20220122T232105Z
UID:indico-contribution-3152@indico.math.cnrs.fr
DESCRIPTION:Speakers: Tahir Choulli (UNiversity of Alberta)\nWe investigat
e the Esscher pricing rule and the Esscher prices\, when the ``public" flo
w information denoted by $\\mathbb F$ is progressively enlarged by a rando
m time $\\tau$\, for both discrete-time and continuous-time settings. $\\t
au$ can represent the death time of an agent\, default time of a firm\, or
more generally the occurrence time of an even that might impact the marke
t somehow. Thus\, by considering the new flow of information $\\mathbb G$
resulting from the expansion of the flow $\\mathbb F$ with $\\tau$\, we ad
dress the stopped model $(S^{\\tau}$\,$\\mathbb{G})$ in different directi
ons and various frameworks. In discrete time\, for instance\, we describe
the Esscher martingale measure for the general case in different manners\,
and we illustrate the results on particular cases of models for the pair
$(S\,\\tau)$. To well illustrate the impact of $\\tau$ on the Esscher pri
cing rules and/or prices\, we consider the Black-Scholes model for $S$ and
a class of models for $\\tau$. For these models\, we describe the Esscher
martingale measures\, the Esscher prices for some death-linked contracts\
, the Greeks of these obtained Esscher prices\, and we compare the Esscher
prices with the Black-Scholes pricing formula. This talk is based on join
t work with Haya Alsemary (University of Alberta).\n\nhttps://indico.math.
cnrs.fr/event/3123/contributions/3152/
LOCATION:Angers - France
URL:https://indico.math.cnrs.fr/event/3123/contributions/3152/
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