报告题目： Pricing American-style Parisian options
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
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.