Pricing American-style Parisian options
报告题目:
Pricing American-style Parisian options
报告摘要:
In this talk, pricing of
various American-style Parisian options will be discussed. After pointing out
the fundamental difference between American-style “in” and “out” Parisian
options, I shall demonstrate how a closed-form analytic solution for
American-style up-and-in Parisian options can be worked out, which does not
explicitly involve a moving boundary as far as the “mother option” is concerned.
For American-style up-and-out Parisian options, a very efficient numerical
approach is proposed, based on the “moving window” technique developed by Zhu
and Chen (2013), in order to simplify the solution procedure. Preliminary
numerical results are presented to show some very interesting features of
American-style Parisian options.
时间: 2018年1月22日 上午10:00-11:00
地点: 工商管理楼200-9报告厅
报告人简介:
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 150 papers in international journals and conference proceedings and attracted funding supports from ARC (Australian Research Council) and private industries, his research work has been recognised both nationally and internationally (ISI Web of Science shows that his total citation number is over 1000 with an H-Index of 18). Currently, Professor Zhu’s research interests are focusing on financial mathematics, while he is the Head of School of Mathematics and Applied Statistics.
联系人:徐翔老师(xxu@zju.edu.cn)