金融与财务学系列讲座之300期

时   间：2024年3月26日（周二）13:30-15:00

地   点：史带楼504室

主   题：Price equivalence between Parasian options with a moving window and their “fixed window” counterparts

主讲人：Song-Ping Zhu  Senior Professor, University of Wollongong

摘   要： This paper untangles a price connection between Parasian options with a moving window and their seemly disconnected “fixed window” counterparts through a simple and elegant coordinate transform to the pricing PDE (Partial Differential Equation) system. As a result of our newly discovered quantitative connection between the two, not only are we able to price the former much more efficiently through the latter, we can also provide a better understanding and financial interpretation of the former in their application in finance, particularly corporate finance, as well as a potentially efficient approach to pricing other derivatives of similar “window- sampling” structure such as convertible bonds with the conversion right being defined on a moving window.

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).

金融与财务学系

2024-3-21