When does American and European call have the same price?

We will prove the following fact arising from finance.

  • American call and European call with the same strike and maturity has the same price given that their underlying assets are the same non-dividend stock.

Of course, this fact shall not be generalized to put or some other scenarios.
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Two slides on Dirichlet problems

Today, I’ve presented my recent work on the generalized solution of the Dirichlet problem at IMA, here is the slide ( pdf ). There is also a video available for the presentation ( link ). Unfortunately, it does not show my board work during the talk, but it’s still a lot fun to look back at my own performance.

One may compare this work with my previous work on strong solutions of the Dirichlet problem, see the paper here ( link ), and slides here ( pdf ).



Measurability of the infimum of a class of functions


[1] Supremum of a class of functions

In the earlier post [1], we discussed measurability of the infimum of a class of measurable functions. In particular, for the infimum of a class of measurable functions as a function, we can show that it may not be measurable. Therefore, we shall need additional conditions to have the infimum function measurable. In this post, we show that the infimum function is

  • measurable if the class size is countable;
  • lower semicontinuous (thus measurable) if each function in the class is lower semicontinuous.

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Skorhod metric on a finite time interval

The notion of Skorohod metric provides a very useful topology in a discontinuous curve spaces, which is often arising as a sample space in stochastic analysis. Understanding Skorohod metric is also an interesting process for an undergraduate student, as a concrete example of a metric space but not a normed space. This note below is written by an undergraduate student with plenty of original examples.

PDF: here

Reference: [Bil99] ([Patrick Billingsley 1999])