Thesis defence

On October 6 I successfully defended my master's thesis titled Pricing contingent claims on illiquid securities in continuous time.

In my thesis I consider good deal valuation as an extension of the traditional Black-Scholes option pricing equation, resulting in tight price bounds in markets where perfect hedging strategies are not feasible. Using risk measures to express what constitutes good deals gives an intuitive interpretation to the derived price bounds, and allows us to consider Black-Scholes pricing as a special case, which under additional assumptions is still the unique price - even in incomplete markets.

Check out the projects page for a permalink to my thesis.