COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. |

University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Option Replication and Valuation in Illiquid Markets

## Option Replication and Valuation in Illiquid MarketsAdd to your list(s) Download to your calendar using vCal - Ku, H (York University (Canada))
- Wednesday 19 November 2014, 11:00-12:00
- Seminar Room 2, Newton Institute Gatehouse.
If you have a question about this talk, please contact Mustapha Amrani. Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches We first investigate replication of a contingent claim in discrete time under liquidity risk. We model liquidity costs as a stochastic supply curve with an underlying asset price depending on order flow. We use a partial differential equation to define a delta-hedging strategy and show that the payoff of this discrete replicating strategy converges to the payoff of the option. We then investigate the utility indifference pricing to option valuation for a large trader in the market. We consider trading actions in illiquid markets will incur liquidity costs, but at the same time, the trader can have influence on the stock price evolution and gain benefits from the permanent price impact by choosing the optimal strategy. Thus, the option price, in some sense, is determined by these two contradicting phenomena. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
- Featured lists
- INI info aggregator
- Isaac Newton Institute Seminar Series
- School of Physical Sciences
- Seminar Room 2, Newton Institute Gatehouse
- bld31
Note that ex-directory lists are not shown. |
## Other listsWolfson Informal Lunchtime Seminar Series Trinity College Science Society (TCSS) Computer Laboratory generic skills courses Beyond i.i.d. in Information Theory Work Shop Buddhist Society Talks Meeting the Challenge of Healthy Ageing in the 21st Century## Other talksThe Intimate Relation between Mechanics and Geometry Measuring interacting electrons in low dimensional systems: spin-charge separation and 'replicas & tbd MRI in large animals: a new imaging model TODAY Foster Talk - "Paraspeckles, TDP-43 & alternative polyadenylation: how regulation of a membraneless compartment guides cell fate" My Life in Science Seminar â€œPublishing in Science: an Inside Look" The interpretation of black hole solutions in general relativity |