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Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

IIIUL, B3-01
2013-04-18 14:00 .. 15:00
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Gonçalo dos Reis (Tech. Univ. Berlin, Alemanha)

Following work of Dupire (2005), Carr-Lee (2010) and Cox-Wang (2011) on connections between Root's solution of the Skorokhod embedding problem, free boundary PDEs and model-independent bounds on options on variance we propose an approach with viscosity solutions. Besides extending the previous results, it gives a link with reflected FBSDEs as introduced by El Karoui et. al. (1997) and allows for easy convergence proofs of numerical schemes via the Barles-Souganidis (1991) method. (see arXiv:1301.3798)
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