### Seminar: Dominykas Norgilas, University of Michigan, Model-free price bounds of derivative contracts

SAS 4201What is the cheapest way to superhedge a path-dependent derivative security? If liquid European calls and the underlying risky stock can be used for hedging, then the lowest superhedging price corresponds to the highest expected cost of the exotic claim. Each expected cost is associated to a probabilistic model which makes the risky stock a martingale…