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BIMSA Digital Economy Lab Seminar
BIMSA Digital Economy Lab Seminar
Price connection between Parasian options with a moving window and their “fixed window” counterparts
Price connection between Parasian options with a moving window and their “fixed window” counterparts
Organizers
Johansson Anders
,
Ruize Gao
,
Liyan Han
,
Zhen Li
,
Jin Liu
,
Fei Long
,
Dongbo Shi
,
Ke Tang
,
Xing Yan
,
Qi Zhang
Speaker
Song-Ping Zhu
Time
Tuesday, June 16, 2026 3:00 PM - 5:00 PM
Venue
A6-101
Online
Zoom 435 529 7909
(BIMSA)
Abstract
As exotic options, Parisian and Parasian options can be very useful in determining if a bankruptcy protection should be sought. 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 potentially for other derivatives of similar “window-sampling” structure such as convertible bonds with the conversion right being defined on a moving window.
Speaker Intro
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 32). In his entire teaching and research career, he has successfully supervised 18 PhD students and quite a few postdocs. He has also organized two international conferences as well as being invited speakers at several international conferences.