In this talk I will introduce a suitable framework for pricing and hedging American options in a model-independent way. This is based on the recently developed concept of adapted Wasserstein distances. Beside recovering super-replication duality, in such a framework we establish existence and a geometric characterization of the extremal pricing models.

This is based on a joint work with D. Bartl, B. Beiglboeck and G. Pammer.

Bio: Beatrice Acciaio is Professor of Mathematics at ETH Zurich since 2020. Before joining ETH, Beatrice was associate professor at the London School of Economics, and prior to that she has been part of several research groups, at the Technical University of Vienna, the University of Perugia, and the University of Vienna. Beatrice completed her PhD in 2006 under the supervision of Walter Schachermayer.

Beatrice's main areas of research are probability, mathematical finance, and optimal transport.

Beatrice is member of the Council of the Bachelier Finance Society, she is Associate Editor for the SIAM Journal on Financial Mathematics, for Finance and Stochastics, for Mathematical Finance, and for the Bocconi & Springer Series on Mathematics, Statistics, Finance and Economics.