讲座题目：Pricing various American-style Parisian and Parasian options
主讲嘉宾：Song-Ping Zhu
讲座时间：2023年5月8日（星期一）上午9：00—11：00
讲座地点：学院116东方报告厅
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2023年4月28日
主讲嘉宾简介
Dr. Song-Ping Zhu is a Senior Professor of Applied Mathematics at the University of Wollongong, Australia. He graduated from the University of Michigan (Ann Arbor, Michigan, U.S.A.) with a PhD degree in December 1987. Having published over 200 papers in international journals and conference proceedings and attracted over $2M funding supports from ARC (Australian Research Council) and private industries, his research work has been recognized both nationally and internationally (ISI Web of Science shows that his total citation number is over 2000 with an H-Index of 27). In his entire teaching and research career, he has successfully supervised many PhD students and postdocs. He has also organized two international conferences as well as being invited speakers at several international conferences.
讲座主要内容
In this talk, I shall review a stream of my research team’s collaborative efforts in pricing exotic options, particularly focusing on some recent progress in pricing American-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-D one (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 “tracking clock” 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.
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