学术报告会：Pricing various American-style Parisian and Parasian options

报告题目：Pricing various American-style Parisian and Parasian options

报告人：Song-Ping Zhu（诸颂平）澳大利亚伍伦贡大学教授

报告时间：2023年5月11日下午4：00

报告地点：S3-502

摘要: In this talk, I shall review a stream of my research team’s collaborative effort in pricing exotic options, particularly focusing on some recent progress in pricingAmerican-style Parasian options and exploring their earlier exercise prices.

With only one character difference between the two words“Parisian”and“Parasian”,pricing an American-style Parasian option is drastically different from pricing its former counterpart. In the talk, I shall demonstrate how we have overcome, through an integral equation approach, the major difficulty of numerically solving a pair of coupled three-dimensional (3-D) PDE systems instead of a 2-D PDE system coupled with another 3-Done (for Parisian options) with the existence of a moving boundary that has fully non-linearized the entire PDE systems. Utilizing the computed optimal exercise price, we are able to quantitatively discuss how much earlier an American-style up-and-out Parasian option should be exercised than its Parisian counterpart with a change of the accumulativeness of the so-called“trackingclock”time, which measures the risk of a contract being potentially knocked out, as well as the financial insights in terms of the nonlinear interactions between the holder’s early exercise right and the effect of the knock-out barrier.

个人简介：

诸颂平，澳大利亚伍伦贡大学应用数学系资深教授。1987年12月获美国密歇根大学博士学位。主要从事计算数学和金融数学等的研究工作，在Quantitative Finance(《计量金融》)、Journal of Fluid Mechanics（《流体力学杂志》）、Journal of Hy-drodynamics（《水力学杂志》）等国际著名期刊发表200多篇学术论文， ISI Web of Science 论文引用超过2000多次 (H 指数 27)，总研究经费超过200万澳元。在教学和科研生涯中，已成功培养了多名博士和博士后。曾组织两次国际会议，多次在国际会议上做主旨或受邀演讲报告。