Speaker: Yihan Zou (University of Glasgow) Title: American Real Option Pricing with Stochastic Volatility and Multiple Priors Abstract: In this article we study stochastic volatility models in a multiple prior setting and investigate prices of American options from the perspective of an ambiguity averse agent. Using the theory of reflected backward stochastic differential equations (RBSDEs), we formalize the problem and solve it numerically by a simulation scheme for RBSDEs. We also propose an alternative to obtain the American option value without using the theory of RBSDEs. We analyze the accuracy of the numerical scheme with single prior models, of which American options could also be efficiently evaluated by the least squares Monte Carlo (LSM) approach. By comparing to the single prior case, we highlight the importance of the dynamic structure of the agent’s worst case belief. At last we explore the applicability of numerical schemes in a setting with multidimensional real option and ambiguity. http://www.maths.usyd.edu.au/u/SemConf/Stochastics_Finance/seminar.html