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Explore an advanced mathematical finance lecture that extends Strassen's theorem to the pricing of American options in arbitrage-free markets. Learn from Beatrice Acciaio of ETH Zürich as she presents cutting-edge research on the theoretical foundations of option pricing, building upon classical results in probability theory and their applications to financial mathematics. Discover how Strassen's theorem, originally developed in the context of stochastic processes and martingale theory, can be generalized to address the complex pricing challenges posed by American-style derivatives that allow early exercise. Gain insights into the mathematical rigor required for establishing arbitrage-free pricing bounds and the sophisticated probabilistic techniques used in modern quantitative finance research. This presentation is part of the Fields Institute's Quantitative Finance Seminar series and provides valuable exposure to current developments at the intersection of probability theory, optimization, and financial engineering.
