"Derivatives, Duality, and Time Reversal"
Speaker:
Peter Carr, Morgan Stanley and New York University
Date and Time:
Friday, March 1, 2002 - 11:00am to 11:45am
Location:
Fields Institute, Room 230
Abstract:
We study the probabilistic underpinnings of the Dupire forward partial differential equation for European option values. We provide a link with the literature on time reversal of Markov processes. We derive a new result called Put Call Reversal and provide various applications. In particular, we show how it can be used to simplify semi-static hedging.