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Mathematical Sciences-Financial Mathematics and Stochastic Analysis Seminar- Sebastien Bossu (WPI)

Tuesday, November 16, 2021
3:00 pm to 4:00 pm

Location:

Floor/Room #: 
306

Speaker: Sebastien Bossu (WPI)
Title: Static Option Replication as a Radon Transform Inverse Problem

Abstract:

    • The Carr-Madan spanning formula, which underlies the computation of the VIX, decomposes any single-asset European option into a portfolio of vanilla calls and puts.
    • The formula may be extended to replicate multi-asset European options, such as worst-of/best-of and dispersion options, with a portfolio of vanilla basket calls that are comparatively more liquid and easier to price
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