The next meeting of the

National Seminar on Probability and Statistics

will be held on November 3, 2024, at 3:00 p.m. in Room 503 of the Institute of Mathematics and Informatics.

A talk on:

Cancellable American options under negative discounting

will be delivered by

Zbigniew Palmowski (University of Wroclaw).

Abstract. In this talk we consider the McKean stochastic game for a geometric spectrally negative Lévy process of asset price which extends the American put option by introducing the possibility for the writer of the option to cancel the contract, at the expense of paying the intrinsic value plus an extra constant penalty. Additionally, we consider a negative discount rate which produces double continuation regions for writer and holder. This is then different from the scenario when the discount rate is positive which was considered in Baurdoux and Kyprianou (2008). Therefore we propose new approach showing how the unique saddle point looks like by identifying the form of the stopping sets for the minimiser and maximiser.

This is a joint work with Jan Palczewski.