Mittagsseminar (in cooperation with A. Steger, D. Steurer and B. Sudakov)

Date and Time: Thursday, January 11, 2007, 12:15 pm

Duration: This information is not available in the database

Location: OAT S15/S16/S17

Speaker: Julian Lorenz

Optimal Competitive Algorithms for the k-Search Problem with Application in Robust Valuation of Lookback Options

In this talk we consider the k-search problem: A player is searching for the k highest prices in a sequence that is unveiled one price quotation after another. At each quotation, the player has to decide immediately whether to accept or not. Using the competitive ratio as a performance measure, we give optimal deterministic and randomized algorithms. In the second part of the talk, these algorithms are used to price a certain type of financial options, namely "lookback options". We derive upper bounds for the price of these securities (under a no-arbitrage assumption), and compare to classical option pricing.

Joint work with K. Panagiotou and A. Steger.

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