Model Independent Pricing: An Optimal Transport Approach

Kangwei Xing (FSU)

Time: 3:35 pm, Room: LOV 201

Abstract: This talk is an introduction to model free pricing which is independent of any specific probability measure. Since we do not assume a probability measure we cannot get a price generated by a model, but we can still find the optimal upper and lower bounds for the prices and this is done with the help of results from Optimal Transport problem. We will also talk about the model free arbitrage.