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PRODID:-//Columba Systems Ltd//NONSGML CPNG/SpringViewer/ICal Output/3.3-
 M3//EN
VERSION:2.0
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METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20260323T135631Z
DTSTART:20260422T150000Z
DTEND:20260422T160000Z
SUMMARY:Probability Seminar: Pavel Gapeev - Perpetual American Standard a
 nd Lookback Options in Models with Progressively Enlarged Filtrations
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}f1v5-mn391j
 i9-ufvqyj
DESCRIPTION:Pavel Gapeev (London School of Economics) will speak at the P
 robability seminar.\n\nTitle:\n\nPerpetual American Standard and Lookbac
 k Options in Models with Progressively Enlarged Filtrations\n\nAbstract:
 \n\nWe derive closed-form solutions to optimal stopping problems related
  to the pricing of perpetual American standard and lookback put and call
  options in extensions of the Black-Merton-Scholes model under progressi
 vely enlarged filtrations. It is assumed that the information available 
 from the market is modelled by Brownian filtrations progressively enlarg
 ed with the random times at which the underlying process attains its glo
 bal maximum or minimum\, that is\, the last hitting times for the underl
 ying risky asset price of its running maximum or minimum over the infini
 te time interval\, which are supposed to be progressively observed by th
 e holders of the contracts. We show that the optimal exercise times are 
 the first times at which the asset price process reaches certain lower o
 r upper stochastic boundaries depending on the current values of its run
 ning maximum or minimum depending on the occurrence of the random times 
 of the global maximum or minimum of the risky asset price process. The p
 roof is based on the reduction of the original necessarily three-dimensi
 onal optimal stopping problems to the associated free-boundary problems 
 and their solutions by means of the smooth-fit and either normal-reflect
 ion or normal-entrance conditions for the value functions at the optimal
  exercise boundaries and the edges of the state spaces of the processes\
 , respectively.\n\nThis is a joint work with Libo Li (Sydney).
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION:Frank Adams 2\, Alan Turing Building\, Manchester
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