Thomas Bernhardt - On the Continuity of the Root Barrier
| Dates: | 26 April 2023 |
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| Times: | 15:00 - 16:00 |
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| What is it: | Seminar |
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| Organiser: | Department of Mathematics |
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Thomas Bernhardt (University of Manchester) will speak in the Probability seminar. (in-person)
Sharp lower bounds of VIX call options are famously connected to Root's solution of the Skorokhod embedding problem. Finding Root's solution for a given target measure involves finding a specific barrier function. Even though numerical schemes for that barrier exist, those rely on apriori regularity assumptions like continuity and monotonicity, which have been notoriously challenging to prove. In this talk, we show that the barrier function in Root's solution to the Skorokhod embedding problem is continuous and finite at every point where the target measure has no atom and its absolutely-continuous part is locally bounded away from zero.
Travel and Contact Information
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Maurice Priestley Room G.108
Alan Turing Building
Manchester
