Tid: 9 februari 2009 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Carl Lindberg, Weavering Capital AB, Göteborg

Titel: Optimal liquidation of a call spread.

Sammanfattning: We begin with an introduction to alfa and beta separation, and to volatility as an asset class. We study the optimal liquidation strategy for a call spread in the case when the market uses an over-estimated volatility to price options. The problem is formulated as an optimal stopping problem, which we solve explicitly.

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