Speaker: Xiaolu Tan from Chinese University of Hong Kong

Date and Time: 9/10/2020 at 9:00 AM

Zoom:  992 7853 8762

Abstract:  We obtain a functional (path-dependent) extension of the Ito formula for C^{0,1}-functions in Bandini and Russo (2017). We then provide some original applications in finance of this new formula, by considering an option replication problem and a super-replication problem.